时间：2019年4月4日13：00-14:00
地点：九里校区零号楼0411室
题目：do institutional investors’ site visit behavior forecast chinese stock market return?
主讲人：董大勇，金融与财务学系系主任，副教授，博导。从事行为决策、数理统计和互联网金融等方面的科学研究，在jasist、ijitdm等ssci、sci期刊以及《管理世界》、《南开管理评论》、《中国管理科学》、《金融研究》、《管理评论》等权威期刊发表论文40余篇。
摘要：this paper investigates the forecasting power of institutional investors’ site visit behavior for chinese a-share market return. we adopt site visit frequency measured by number of site visits to listed firms and number of site visits information disclosure as institutional investors’ site visit and utilize predictive regression model with original predictive variables and excess-expected predictive variables. we find site visit frequency is a strong predictor on stock market return both in-sample and out-of-sample, which could more strongly predict chinese stock return than other economic predictors after comparing the in-sample and out-of-sample r2. we also find institutional investors’ site visit could generate sizeable for economic gain.
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