一、主题：经理人情绪与股票回报

二、主讲人：姜富伟，必赢565net官网副教授。2014年毕业于新加坡管理大学，获得金融学博士。他的主要研究领域包括资产定价、盈余预测、资产投资、行为金融和公司金融。他的研究成果在Review of Financial Studies, Journal of Portfolio Management, Journal of Financial Research, Pacific-Basin Finance Journal 等国际高水平金融期刊发表。他在中央财经大学主要讲授《金融实证研究方法》、《金融市场与金融机构》等课程。

三、时间：2015年11月30日（周一），12:30-13:30

四、地点：学术会堂606会议室

五、主持人：黄志刚，必赢565net官网副教授

论文摘要：In this paper, we construct a manager sentiment index based on the aggregated textual tone of conference calls and financial statements. We find that manager sentiment is a strong negative predictor of future aggregate stock market returns, with monthly in sample and out-of-sample R2 of 9.75% and 8.38%, respectively, which is far greater than the predictive power of other previously-studied macroeconomic variables. Its predictive power is also stronger than and is complimentary to the popular investor sentiment indexes. Moreover, manager sentiment also negatively predicts future aggregate earnings and cross-sectional stock returns, particularly for those firms that are either hard to value or difficult to arbitrage.