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企业社会责任、社会责任投资与股票市场效率

来源:上海立信会计金融学院   点击率:
 

 题:企业社会责任、社会责任投资与股票市场效率(Corporate Social Responsibility, Socially Responsible Investing, and Stock Market Efficiency

报告人:曹杰(香港中文大学财务系副教授、终身教职、硕博项目主任)Jie Cao, Associate Professor, Coordinator of MPhil-PhD, Department of Finance, The Chinese University of Hong Kong(CUHK)

 间:20171116日(周四)上午10:00-12:00

 点:松江校区科创楼五楼多功能报告厅

报告内容简介:

论文利用2004-2014年数据检验社会责任如何预测公司股价收益。研究发现相比好的社会责任高价股公司而言,差的社会责任低价股公司可以获得更高的风险调整后投资回报,并在此交易策略下可以产生1.33%的月度三因子阿尔法投资价值。这个结果除了传统的套利因素外,主要是受到关注社会责任的投资者交易驱动,而此类投资者的策略就是买入差的社会责任低价公司股票、抛售好的社会责任高价公司股票。对此,像对冲基金在内其他投资者策略无效。

This paper examines how corporate social responsibility predicts the stock return in the cross-section for 2004-2014. We find most underpriced stocks with poor CSR performance have highest risk adjusted returns, while most overpriced stocks with good CSR performance have lowest risk adjusted returns. A long-short trading strategy generates a monthly three-factor alpha of 1.33%. The results are mainly driven by the stocks held by more socially responsible (SR) institutional investors and not due to limits to arbitrage. Our results suggest SR investors are constrained to buy underpriced stocks with poor CSR performance and reluctant to sell overpriced stocks with good CSR performance. Such inefficiency is not fully offset by unconstrained investors like hedge funds.

报告人简介:

曹杰现为香港中文大学财务系副教授,硕博项目负责人,德克萨斯大学奥斯汀分校(University of Texas at Austin)金融学博士,研究兴趣为资产定价、行为金融和公司治理,Journal of Financial EconomicsJournal of Financial and Quantitative AnalysisJournal of Banking and Finance等国际权威学术期刊发表论文多篇。

Professor Cao is currently Associate Professor, Department of Finance, The Chinese University of Hong Kong (CUHK), and Coordinator of MPhil-PhD in Finance Program. He received his PhD in Finance from University of Texas at Austin. Professor Cao’s research interests are mainly in the areas of empirical asset pricing, behavioral finance, and corporate governance. He has published articles in leading journals, including Journal of Financial Economics, Journal of Financial and Quantitative Analysis, and Journal of Banking and Finance, among others.

《会计与经济研究》编辑部

20171110  

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