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珞珈经管青年论坛第四百二十一期——数理经济与数理金融论坛
时间:2023-07-15    点击数:

讲座题目: Which One to Follow: Analysis of Lead-follower and Peer Effects in the A Market   跟随哪一个:A股市场的跟随者效应和同行效应分析

主讲人:李少然   北京大学经济学院金融系   助理教授

讲座地点:经管院B224

讲座时间:2023年7月17日9:30-11:30

讲座内容摘要:

This project compares the momentum spillover effects detected by different linkage networks in the A Market and concludes that most connectivity documented in past literature can be unified by the cross-firm momentum driven by the news-comention linkage. In other words, like the analyst momentum in the US market, a series of momentum spillover effects lose their predictive power after controlling for the media-implied momentum. We further separate the undirected news-comention network into directed sub-networks, including Lead-follower and Peer-effects networks. Empirical evidence shows significantly contrasting behaviours of sub-networks' momentum spillover, depending on leaders or peers to follow. We finally analyse the mechanism behind these phenomena.

这个项目比较了在A股市场中不同的链接网络所检测到的动量溢出效应,并得出结论,在过去的文献中记载的大多数连通性可以通过由新闻-会议链接驱动的跨公司动量来统一。换句话说,就像美国市场的分析师动量一样,在控制了媒体隐含的动量后,一系列动量溢出效应失去了预测能力。我们进一步将无向新闻传播网络分成有向子网络,包括领导跟随者和同伴效应网络。实证证据显示,子网络的动量溢出行为明显不同,取决于领导者或同伴的追随。我们最后分析了这些现象背后的机制。

主讲人学术简介:

李少然,北京大学经济学院金融系助理教授,2021 年于剑桥大学取得博士学位,研究领域为金融计量,实证资产定价和机器学习。研究成果发表在 Journal of Econometrics 和 Journal of Business & Economic Statistics 上。