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IAER Seminar 2021-4:张博辉

报告题目:Does express delivery run ahead of stock price?

报 告 人:张博辉

报告时间: 2021年05月07日(周五)15:30-17:00

报告地点:博学楼2楼东侧 I-206室/ 腾讯会议(会议ID:601 836 462)

主办单位:高等经济研究院

【报告人简介】

张博辉,香港中文大学(深圳)金融学校长讲座教授,经管学院执行副院长,深圳高等金融研究院金融科技与社会金融研究中心主任、数据科学理学硕士项目联合主任,2008年获南洋理工大学金融学博士学位。研究方向信息媒介对资本市场的影响、中国和外国资本市场、金融科技以及可持续金融。曾发表40余篇文章,其中多篇发表在Review of Financial StudiesJournal of Financial EconomicsJournal of Accounting ResearchManagement Science等金融学、会计学、商学等国际顶级期刊。

【内容摘要】

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.

【参会方式(线上线下同步进行)】

1. 线下地点:博学楼2楼东侧 I-206室(高等经济研究院会议室)

2. 线上腾讯会议  会议ID:601 836 462

【更多信息】

获取更多信息,请扫描下方二维码加入“IAER Seminar”腾讯QQ群(群号:904 544 292)或微信群,可同时关注高等经济研究院网站:http://iaer.dufe.edu.cn

 

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撰稿:王杰 审核:齐鹰飞 单位:高等经济研究院