王凯， 斯蒂文斯理工学院金融工商管理专业博士。主要研究领域包括资产定价、公司金融、机制设计、计量经济学、机器学习。

时间：11月12日（星期五）上午10:00-11:30

地点：腾讯会议，会议号396 538 213

讲座题目：Organizational Capital, Tobin's Q, and the Cross Section of Stock Returns

讲座摘要：I modify the adjustment cost function in Hou, Xue, and Zhang (2015) model to allow management to reduce adjustment costs by investing in organizational capital. The model implies that, when the expected productivity is held constant, the firms with productivity that is less prone to market risk should have higher organizational capital-adjusted asset growth (AAG), and at the same time, are valued higher by the investors, and therefore have lower expected returns. I find empirical support for this implied negative relationship between AAG and expected returns. An AAG factor mimicking portfolio that is long low AAG stocks and short high AAG stocks has significantly positive risk-adjusted return, with an annualized Fama-French 5-factor (FF5) alpha of 2.4\% (t=3.9) and Hou-Xue-Zhang 4-factor (HXZ4) alpha of 2.5\% (t=3.3). In the squared Sharpe ratio tests, AAG-augmented FF5 and HXZ4 models with AAG as an additional factor dominate FF5 and HXZ4 model respectively in the full sample period, and AAG-adjusted FF5 and HXZ4 models with CMA and IA replaced by AAG dominate FF5 and HXZ4 model respectively in the second half of the sample period from January 1996 to December 2020.

欢迎感兴趣的老师和同学参加。

哈尔滨工业大学经济与管理学院

人事与师资办公室

2021年11月5日