主题Topic：What Does Skewness of Firm Fundamentals Tell Us About Firm Growth, Profitability, andStock Returns
时间Time：10月21号（周五）｜October21, 2016 (Friday), 14:00–15:35
地点Venue：文波207｜Room 207, WENBO
主讲人Speaker：
贾越珵老师，2009年赴美留学。2009年至2016年先后就读于美国凯斯西储大学，俄克拉荷马州立大学。于2011年获得金融硕士。2016年，获得俄克拉荷马州立大学金融学博士学位。目前就职于中央财经大学中国金融发展研究院。
研究领域:
实证资产定价、投资资产定价、管理层薪资
Research Area:
Empirical Asset Pricing, Investment-Based Asset Pricing, Executive Compensation
摘要 Abstract:
This paper investigateswhether the skewness of firm fundamentals is informative about future firm performance and stock returns. We present two distinct preference-free theoretical models of firmfundamentals, both of which imply a positive relation between the skewness of firm fundamentals and expected stock return. Consistent with this implication,we show empirically that the skewness measures of firm fundamentals positively predicts cross-sectional stock returns. Furthersupporting both models, we find that higher fundamental skewness implies not only higher future firm growth option but also higher futurefirm profitability. Our results cannot be explained by existing riskfactors and return predictors including the levels of firm fundamentals and the skewness of stock returns.
