第一百四十二期财务与会计学术论坛

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题目: On the Returns on Small Growth Stocks 演讲者:Prof. Chu Zhang,professor of finance,Hong Kong University of Science and Technology 时间: 2011年5月6日(星期五)3:00—4:30PM 地点: 嘉庚二501 参加者: 对财务研究有兴趣的广大师生 主持人: 阮军老师 论文简介: The average returns on small growth stocks have been unusually low, especially during the 1980s and 1990s. The reason for the low realized returns on small growth stocks is their poor earnings. These stocks have tended to be in high-tech industries. Many of them were listed during the 1980s and some of them were delisted years before the Internet bubble in the early 2000s. To a large extent, the low returns on these small growth stocks were expected. They were the result of investors' preferences for positive return skewness. A skewness measure and the corresponding mimicking factor are found to be useful in explaining the cross-section of expected returns and, in particular, the puzzle of low expected returns on small growth stocks. The results in this paper provide fresh evidence on the role of skewness in asset pricing as well as new perspectives on the well-known size and book-to-market effects of stock returns. 讲座人简介: Prof. Chu Zhang is currently a professor of finance in the Finance Department at The Hong Kong University of Science and Technology. Prof. Zhang obtained his MBA and PhD degrees in finance from the University of Chicago. He also holds a Bachelor of Science degree in mathematics and Master of Science degree in quantitative economics. After graduation from University of Chicago, Prof. Zhang taught investments, portfolio management, and corporate finance at undergraduate, MBA and PhD levels at the University of Alberta in Canada for six years before joining HKUST. At HKUST, he has been teaching a Ph.D course on empirical studies of asset pricing and master-of-science courses on fixed-income securities and derivatives. Prof. Zhang has a wide range of research interest in financial markets and corporate decisions. He has published in various finance journals such as Journal of Finance, Journal of Financial Economics, Journal of Financial and Quantitative Analysis, Journal of Business, and Management Science. Prof. Zhang also serves as a referee for many finance journals.