主题｜Topic：Industry Classification, Industry Concentration, and Expected Stock Returns
时间｜Time：6月19号（周二）｜June 19th (Tuesday), 3：15 - 6：15 PM
地点｜Venue：文澜105会议室｜Meeting Room 105，WENLAN
主讲｜Speaker
刘千秋教授，武汉大学数学学士，数理统计硕士，美国西北大学凯洛格商学院金融博士。现任美国夏威夷大学夏德勒商学院金融学杰出教授, 金融系博士生项目负责人。近十年来担任本科，硕士，以及博士生公司金融，投资学，金融计量，和金融理论课程的教学。在金融工程硕士项目的教学曾三度获得优秀教学奖 (2010, 2012, 2013)。主要从事资产定价实证分析，金融计量金计学，金融市场微观结构，国际金融，以及个人理财规划的研究，于2009年获夏德勒商学院优秀研究奖。曾在 Review of Financial Studies, Management Science, Journal of Applied Econometrics, Journal of International Money and Finance, and Journal of Banking and Finance 等知名学术期刊发表多篇论文，并多次在学术年会中获得最佳论文奖，如 Academy of Financial Services (2008 & 2010), Asian Finance Association (2012), Financial Management Association Asian (2014) 等。
研究领域｜Research Interests
Quantitative Macroeconomics, Public Finance, Labor Economics, Health Economics
定量宏观经济学、公共财政、劳动经济学、卫生经济学
摘要｜Abstract
In this paper, we examine industry concentration under different industry classifications and its relation with expected stock returns. We find the relation depends not only on different industry classification methods, but also on different sample periods that characterize the change of industry concentration over time. The three-digit SIC system leads to a negative relation between the industry concentration level and future stock returns during 1963 to 2001, while a positive relation exists for both the two-digit SIC and Fama-French 48 industry classifications throughout the full sample period from 1963 to 2016. It is significantly positive during the recent 15 years under all the three different industry classifications. Our findings are robust after controlling for firm characteristics such as size, book-to-market, and momentum, etc.
