一、 主题：Sticky expectations and cross-firm return predictability

二、 汇报人：丁慧 2020级金融工程硕博连读生

三、 时间地点：2024年4月25日晚上19：30，沙河校区主教学楼104M

四、 报告简介：为促进金融科技研究，推动中国金融科技的健康稳定和可持续发展，金融科技教育与研究五十人论坛发起2024中国金融科技学术年会（2024 China Fintech Research Conference, CFTRC2024）。会议由上海交通大学安泰经济与管理学院联合30余所院校主办，由上海交通大学安泰经济与管理学院承办，智能投研技术联盟（ITL）、上海数据交易所研究院共同协办，于2024年4月19日至4月20日在上海举行。太阳官网博士研究生丁慧与姜富伟教授、西南财经大学太阳集团tyc539陈梓麟教师合作的论文《Sticky expectations and cross-firm return predictability》经过评审应邀参会。丁慧同学将在校内就该参会论文做出学术报告。

五、 报告摘要：Previous empirical studies document a striking cross-firm return predictability among economically linked firms. This study reveals that the cross-firm return predictability is attributable to analysts’ sticky expectations. Notably, the return predictability is more pronounced for focal firms covered by analysts with stickier forecasts compared to those with less sticky forecasts. Furthermore, this effect remains robust when alternative explanations are considered. This pattern holds with alternative measures of sticky expectation and across various economic linkages. Our findings reveal a novel fact that analysts’ sticky expectations serve as an important force in driving investors’ underreaction to the valuable information emanating from economically linked firms.

撰稿：丁慧

初审：位锦

终审：魏旭