报告信息

报告题目：The Nexus of Overnight Trend and Asset Prices in China

报告时间：2023年8月29日 14:00-16:00

报告地点：大玩家彩票B220

报告人：Xing Han 讲师

邀请人：高雅 副教授

报告内容和摘要

Empirical puzzles—(1). Overnight return is negative. (2). Prominent anomaly strategies (including beta and idiosyncratic volatility) earn their “premium” exclusively over the night. (3). Momentum strategies do not prevail—all imply that overnight clientele are informed in China. Utilizing this temporary clientele difference within a day, we validate a modified version of the Hong and Stein (1999) model that reconciles the no momentum puzzle. The model predicts that overnight returns (rather than total returns) have strong predictive power, as overnight clientele underreact to the value-relevant signal. Empirically, we establish a consistent overnight trend phenomenon: Firms with a strong overnight trend reliably outperform those with a weak overnight trend in the subsequent month. The phenomenon is more pronounced among stocks with higher information asymmetry, valuation uncertainty, and relative mispricing. More crucially, the overnight trend predicts positively subsequent earnings surprises in the cross section. Finally, we rule out several alternative explanations.

报告人简介

Dr. Xing Han’s research revolves around empirical asset pricing, behavioral finance, financial development and FinTech. His research work has appeared in peer-reviewed finance and economics journals such as Critical Finance Review, Financial Management, Journal of Empirical Finance, and Journal of Economic Dynamics and Control.

Dr. Xing Han has been the recipient of multiple external and internal research grants and awards. Over the years, Dr. Xing Han has presented his work extensively at international academic conferences including annual meetings of the Financial Management Association International (FMA), the European Financial Management Association (EFMA), the Royal Economics Society (RES), the German Finance Association (DGF), and the New Zealand Finance Meeting (NZFM).

Personal website (https://sites.google.com/view/xinghan) for recent working papers, data, and etc.

Qualifications: B.Econ (Fudan), MSc (Maastricht), M.Fin (Antwerp), PhD (Ghent), CFA