讲座题目：Speculative Trading, Bitcoin, and Stock Returns

　　报告人：K.C. John Wei(香港理工大学)

　　报告时间：2019年5月7日(周二)上午 10：00-11:30

　　报告地点：经管院A208

　　主办单位：数理经济与数理金融系，主持人：李晓蹊

　　摘要: We investigate whether the hype surrounding cryptocurrencies spreads into the stock market. Using daily Bitcoin prices from 2013 to 2018, we estimate the absolute sensitivity of individual stock returns to Bitcoin returns. Consistent with speculative trading demand, stocks with high absolute Bitcoin sensitivity experience temporary over-valuation and subsequent return reversals that exceed −1% per month. The return patterns are not due to size, book-to-market, momentum, illiquidity, idiosyncratic volatility, expected idiosyncratic skewness, and maximum daily returns. Additional analysis suggests that retail investors likely drive this speculative demand.

　　简介 ：Professor K.C. John Wei is currently Chair Professor of Financial Economics at The Hong Kong Polytechnic University (PolyU). He received his PhD in Finance from the University of Illinois, Champaign-Urbana. He previously taught at University of Mississippi, University of Miami, Indiana University. Before joining PolyU, he served as Chair Professor of Finance at Hong Kong University of Science and Technology (HKUST) and had worked there for 24 years. Professor Wei’s research interests are mainly in the areas of empirical asset pricing, international finance, and corporate governance. He has published more than fifty articles in leading finance and accounting journals, including Journal of Finance, Journal of Financial Economics, The Accounting Review, Management Science, Journal of Financial and Quantitative Analysis, and Journal of Business, among others.