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IAER Seminar 2021-4:張博輝

報告題目:Does express delivery run ahead of stock price?

報 告 人:張博輝

報告時間: 2021年05月07日(周五)15:30-17:00

報告地點:博學樓2樓東側 I-206室/ 騰訊會議(會議ID:601 836 462)

主辦單位:高等經濟研究院

【報告人簡介】

張博輝,香港中文大學(深圳)金融學校長講座教授,經管學院執行副院長,深圳高等金融研究院金融科技與社會金融研究中心主任、數據科學理學碩士項目聯合主任,2008年獲南洋理工大學金融學博士學位。研究方向信息媒介對資本市場的影響、中國和外國資本市場、金融科技以及可持續金融。曾發表40余篇文章,其中多篇發表在Review of Financial Studies、Journal of Financial Economics、Journal of Accounting Research、Management Science等金融學、會計學、商學等國際頂級期刊。

【內容摘要】

We study the role of logistics information in the price discovery process. Using a proprietary data set on firm-level logistics service records covering 2,035 firms during 2011 to 2019 from the largest express delivery service provider in China, we find that parcel delivery contains firm-specific information for stock pricing. A long-short portfolio by buying (selling) stocks with the high (low) quarterly growth in the number of parcels sent by firms generates a 9.72% risk-adjusted return annually. The return predictability of parcel growth holds after controlling for firm characteristics and stays persistent in up to three quarters without any reversal. This predictability is more significantly driven by firms’ delivery of document-related (light) parcels than goods-related (heavy) parcels. Moreover, parcel growth positively predicts firm growth, profitability, and earnings surprises. We last show that institutional investors and insiders may obtain the similar value-relevant information contained in parcel growth, and adjust their positions before such information is fully revealed to the public.

【參會方式(線上線下同步進行)】

1. 線下地點:博學樓2樓東側 I-206室(高等經濟研究院會議室)

2. 線上騰訊會議  會議ID:601 836 462

【更多信息】

獲取更多信息,請掃描下方二維碼加入“IAER Seminar”騰訊QQ群(群號:904 544 292)或微信群,可同時關注高等經濟研究院網站:http://iaer.dufe.edu.cn。

 

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撰稿:王杰 審核:齊鷹飛 單位:高等經濟研究院

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