论文题目：Investor Sentiment and the (Discretionary) Accrual-return Relation: Theory and Evidence
时间： 2019年11月29日 14:30—15：30
论文摘要：The positive relationship between discretionary accruals and stock returns at the aggregate level appears to contradict the negative relationship in the cross section. Using a stylized model with endogenous earnings management, we show that the "lean-against-thewind" behavior, together with investor irrationality, can account for the positive accrual-return relation at the aggregate level. We also show that the negative accrual-return relation in the cross-section can arise due to firm-level manipulation uncertainty, and the negative relation is more pronounced among firms with poor governance and is also exacerbated by investor irrationality. Using Baker-Wurgler investor sentiment index as a proxy for investor irrationality, we find data patterns that are consistent with our model predictions.
主讲人简介：江嘉骏，北京大学金融学博士，纽约大学Stern商学院访问学者。2018年加入复旦大学经济学院，主要研究方向包括行为金融、消费金融和金融科技。江嘉骏博士已有多篇文章发表于Journal of Empirical Finance， Journal of Comparative Economics，《金融研究》。