讲座题目：Do Peer Characteristics Explain Returns: An Aggregation Approach

讲座时间：2023年12月6日（周三）16：00-17：00

讲座地点：明德楼1101会议室

主讲嘉宾：戈舒怡助理教授      南开大学金融学院

主讲嘉宾简介：

戈舒怡，南开大学金融学院助理教授，剑桥大学经济学博士。研究领域主要包括金融计量、实证资产定价、经济网络。科研成果发表于Journal of Econometrics, Journal of Business and Economic Statistics, Journal of Economic Dynamics and Control 等国际期刊。主持国家自然科学基金1项。

讲座主要内容：

Characteristics of one firm may contain value-relevant information for a set of economically related peer firms. This paper employs a flexible machine-learning approach to aggregate information from a large number of peer characteristics, as well as deviations of firms' own characteristics from the peer averages, into two aggregate peer-based indices: the Peer Index (PI) and the Peer Deviation Index (PDI). The two indices reliably predict future returns, even after controlling for a comprehensive list of other anomaly variables, as well as adjusting for data-snooping bias and microcaps. Individually, long-short value-weighted portfolios based on PI and PDI each generate monthly excess returns of 1.5% and 2.2%, respectively, with Sharpe ratios of 1.15 and 2.28. Combining the two signals, a long-short double-sorted portfolio generates monthly excess returns of 3.48% (with a Sharpe ratio of 2.52). We present evidence that the predictability of PI and PDI arises from the gradual diffusion of information and anchoring to peer fundamentals, respectively.

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2023年12月1日