主题｜Topic：Return Cross-Predictability in Firms with Similar Employee Satisfaction
时间｜Time：12月13号（周五）｜Dec. 13th (Friday)，3:40-5:15PM
地点｜Venue：文泰114教室｜Class Room 114，WENTAI
主讲｜Speaker
凃俊教授于华盛顿大学获得金融学博士学位，现为新加坡管理大学李光前商学院金融学终身职副教授，博士生导师。凃老师的研究领域涉及行为金融、金融科技、文本分析和机器学习、金融计量、资产定价、投资者情绪、媒体和资本市场、资产回报预测、投资组合管理、公司金融等。他的研究获得多个研究奖项，包括金融研究评论 (Review of Financial Studies) 2015—2016年度最高阅读次数奖和最高被引论文奖，Lee Foundation Fellowship for Research Excellence, Sing Lun Fellowship, Pacific Basin Finance Journal Prize (First Prize), 和华盛顿大学研究奖学金。凃老师目前已经在顶级国际学术期刊上发表多篇学术论文，包括金融经济学杂志（Journal of Financial Economics）, 金融研究评论 (Review of Financial Studies), 财务定量分析杂志 (Journal of Financial and Quantitative Analysis),和管理科学 (Management Science)。他也对中国金融问题 (证券, 人民币，及房地产等) 具有深入研究，发表了数篇有影响力的论文。
研究领域｜Research Interests
资产定价、投资组合管理、预测、技术分析、行为金融、金融分析等
摘要｜Abstract
We study the return predictability of similar employee satisfaction (SES) firms using new firm-ranking data of employee satisfaction from Glassdoor. We find that the returns of firm peers with SES have a predictive power for focal firm returns. A long-short portfolio sorted on the lagged returns of SES firm peers yields a significant Fama and French (2018) six-factor alpha of 135 bps per month. This result is distinct from industry and inter-firm momentum effects and cannot be explained by risk-based arguments. Our tests suggest that investors’ limited attention is the primary reason of firms’ underreaction to their SES firm returns.
