主讲人：David McLean（美国乔治城大学）
讲座摘要：We provide the most comprehensive study of market participation to date. Our examination reveals the informativeness of 9 different types of investors’ trades, and how each type of investor’s trades relates to 130 different variables that together reflect the cross-section of expected stock returns. Firms and short sellers tend to be the smart money—both sell stocks with low expected returns, and their trades predict returns in the intended direction. Firms, however, seem to possess private information, while short sellers do not. Retail investors buy (sell) stocks with low (high) expected returns and their trades predict returns opposite to the intended direction. All 6 types of institutional investors are weighted towards stocks with low expected returns, but none of their trades robustly predict returns.
时间：12月29日（星期三），晚上20：00-21：30
线上会议：腾讯会议（会议号：471 152 514）
主讲人简介： David McLean教授是乔治城大学 McDonough 商学院教授，他的研究方向为资本市场的不完备性及其对资产价格与公司治理所产生的影响。McLean教授在国际知名期刊发表了大量文章，如 Journal of Finance、Journal of Empirical Finance 和Review of Financial Studies等。他的研究成果荣获了the Amundi Smith Breeden Award for the best paper in Journal of Finance、the Jensen Prize for the best paper in the Journal of Financial Economics、the Q-Group’s Roger Murray Prize for quantitative research in finance 等多个奖项。McLean教授还担任Management Science 等知名学术期刊的编委会成员。
主办：中国互联网经济研究院
附件为讲座论文。
此次讲座获得北京高等学校卓越青年科学家计划资助（BJJWZYJH01201910034034），特此致谢。
