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Ownership Links and Return Predictability
日期: 2018-12-21

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Jun Tu

新加坡管理大學李光前商學院金融學副教授

12月26日(周三) 14:30-16:00

金融系會議室(慧園3棟3樓315)

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題目:Ownership Links and Return Predictability

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嘉賓簡介

凃俊教授現任職新加坡管理大學李光前商學院金融學終身職副教授,博士生導師。凃俊教授于 2004 年獲得華盛頓大學金融學博士學位,并于同年加入新加坡管理大學李光前商學院。凃俊教授的研究領域涉及行為金融, 投資者情緒, 實證資產定價, 媒體和資本市場, 資產回報預測,投資組合管理, 文本分析和機器學習,公司金融,金融計量。凃俊教授的研究獲得多個研究獎項,包括 Lee Foundation Fellowship for Research Excellence, Sing Lun Fellowship, Pacific Basin Finance Journal Prize (First Prize), 和華盛頓大學研究獎學金。 凃俊教授已經在頂級國際學術期刊上發表多篇學術論文,包括金融學雜志( Journal of Finance), 金融經濟學雜志 ( Journal of Financial Economics ) , 金融研究評論 ( Review of Financial Studies ) , 財務 定量分析雜志 ( Journal of Financial and Quantitative Analysis ) ,和管理科學 ( Management Science ) 。凃俊教授的研究成果還被頂尖的業界期刊轉載,比如 The CFA Digest,花旗銀行,和 UBS 的學術研究文摘等。

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Abstract

We investigate the return predictability between subsidiaries and their parent firms by using an international sample of parent firms with complex ownership structures from 23 developed markets. We find that portfolio returns of the ownership-weighted subsidiaries can significantly predict the future returns of a parent firm in terms of statistics and economics. Specifically, a simple long/short portfolio strategy for a global sample sorted by lagged monthly returns of subsidiaries yields an FF5 abnormal return of 112 (value-weighted) or 128 (equal-weighted) basis points per month. We further find indirectly owned subsidiaries, foreign subsidiaries, different-industry subsidiaries, and minor ownership subsidiaries generate larger predictive power than directly owned subsidiaries, local subsidiaries, same-industry subsidiaries, and major ownership subsidiaries for future returns of parent firms. We find that subsidiaries’ complexity, subsidiaries’ importance, limits to arbitrage, and investor limited attention may be mechanisms and reasons for the underreaction of parent firm returns for subsidiaries 'returns.


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