讲座时间：3月19日15:00
讲座地点：0411室
讲座题目：aggregation of idiosyncratic shocks in the customer-supplier network
讲座梗概：
using customer-supplier networks, we document a strong increase in stock return comovement between customer and supplier after the establishment of their relationship. this increase in comovement is mainly associated with cash flow news and firm-specific information. the idiosyncratic shocks to customers diffuse through the customer-supplier network and aggregate into a systematic risk, which affects suppliers’ expected returns. using a long-short portfolio based on exposure to aggregated customer risk, we realize an annual excess return of 3.1% (value-weighted) and 6.11% (equal-weighted), respectively. the customer risk factor cannot be explained by market, size, book-to-market or momentum factor.
主讲人信息：
yi liu is a ph.d. candidate of finance at university of wisconsin-milwaukee. his research interest is corporate finance, asset pricing, and behavioral finance. his current research projects contribute to trending topics including corporate espionage, connected firms, customer-supplier network, and firms' decisions on precautionary cash reserves. yi liu is dedicated to discover and collect unique financial datasets and provide insights to critical issues in finance research from a new perspective. he also concentrates on revealing complicated connections among firms and tracing capital flows of the economy, in an effort to diagnose loopholes of the financial system.
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