“大金融学科学术研究沙龙”第84期 

(Released in:2016-11-11 )

主讲人:埃克塞特大学商学院  Rajesh Tharyan副教授

主持人:金融学院 张翔副教授

地点:格致楼317会议室

主办单位金融学院、科研处

主讲人简介:

Dr Tharyan分别持有埃克塞特大学商学院的金融博士学位和伦敦政经的国际金融与会计硕士学位。目前研究方向包括实证资产定价,董事交易,价值溢价,兼并和收购和企业社会责任的估值效应.

主题一:Macroeconomic Factors, Expected Returns and the Pricing of Anomaly Portfolios

时间:1114日(星期一)下午15:00-16:30

内容提要:

The consensus is that asset pricing models with macroeconomic factors perform poorly, relative to firm characteristic-based factor models, in explaining the cross-section of stock and bond returns. This is a disconcerting result given that the “central task of asset pricing” is to demonstrate the link between macroeconomic sources of risk and asset returns. We propose a model with a set of factors that mimic fundamental sources of risk in the economy. Our factors are extracted using a novel stock-level sort that preserves the relation between stock returns and macroeconomic variables. Our model performs at least as well as standard characteristic-based factor models in explaining the cross-section of common benchmark and anomaly portfolio spreads. Taken together, our evidence shows, in contrast to a much of the prior literature, that macroeconomic factors do play an important role in explaining the cross-section of risk in stock and bond markets.

 

 

主题二:Environmental and Social Disclosures: Link with Corporate Financial Performance

时间:1115日(星期二)下午15:00-16:30

内容提要:

Environmental and social disclosures entail costs, yet increasingly, large listed firms are making higher and better quality disclosures. In this paper we examine the link between a firm's environmental and social disclosures and its profitability and market value. We find that past profitability drives current social disclosures. However, consistent with the existing evidence, we do not find any relation between environmental disclosures and profitability. Further, while prior literature has largely focussed on environmental disclosure, we find that it is the social disclosures that matter to investors. We find that firms that make higher social disclosures have higher market values. Further analysis reveals that this link is driven by higher expected growth rates in the cash flows of such companies. Overall our findings are consistent with the resource based view of the firm and the voluntary disclosure theory, suggesting that firms with greater economic resources make more extensive disclosures which yield net positive economic benefits