讲座题目：IPO Beta

报告人：郭晖

报告时间：2021年6月22日（周二）上午8:30

报告地点：腾讯会议771 154 194

主办单位：999策略白菜手机论坛数理经济与数理金融系

主持人：林乾

内容摘要：We propose a novel sentiment measure for China’s stock market. It captures investors’enthusiasm for IPO stocks revealed by both IPO prices and volumes. Loadings on the sentiment measure or IPO betas negatively predict the cross-section of stock returns. The return difference between low and high IPO beta stocks is not explained by known stock market anomalies and risk factors. The IPO beta anomaly is more pronounced for stocks with higher information ambiguity, larger capital lose overhang, and more short interest. Our results indicate that the anomaly reflects mainly mispricing and limits to arbitrage.

主讲人简介：郭晖，辛辛那提大学金融学教授、Briggs Swift Cunningham讲席教授、金融系博士项目负责人，纽约大学金融经济学博士。目前已在JF、RFS、JFQA、JAR、CAR、JMCB等国际顶级学术期刊发表论文数十篇，担任AER、JPE、JF、JFE、RFS等近四十余种国际顶级学术期刊的审稿人。