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Media-based inter-industry Network and Information Transmission

Alumni and External Relations Office    2019-10-28

Media-based inter-industry Network and Information Transmission

Speaker: Li GUO, Assistant Professor, Fudan University

Host: Assistant Professor Zhang Ran

Time: Wednesday, November 6, 2019, 14:30-16:00

Venue: B1516, Antai Building

 

Abstract:

We construct a dynamic inter-industry network using a comprehensive sample of media news to examine how news travels across industries. Our analyses show that cross-industry news contains valuable information about firm fundamentals that is not fully captured by firms' own news or within-industry peers' news. Stock prices do not promptly incorporate cross-industry news, generating return predictability. Underreaction to cross-industry news is more pronounced among smaller stocks that are more illiquid, more volatile, and have fewer analysts following. A long-short strategy exploiting cross-industry news yields annual alphas of over 10%.

 

Bio:

Li GUO is an Assistant Professor in Finance at Fudan University and a Researcher at Shanghai Institute of International Finance and Economics. Before joining Fudan University, Li GUO obtained his PhD in Finance from Singapore Management University. His recent work has been accepted by a top3 journal in finance - Journal of Financial Economics. He is also a reviewer for multiple SSCI journals, such as Financial Analyst Journal, Journal of Financial Econometrics, and European Journal of Finance. He has also won several awards in international conferences, such as the 2019 WRDS Advanced Research Scholar Program (WARSP) Best Papaer Award, the 26th SFM Best Research Paper Award in 2018, and the Best Young Scholar Paper Award in 2017 Frontiers of Business Research in China International Symposium.