讲座：News Co-Occurrence, Attention Spillover and Return Predictability
题 目："News Co-Occurrence, Attention Spillover and Return Predictability"
演讲人：Jun Tu, Associate professor, Lee Kong Chian School of Business
Singapore Management University
主持人：张然 助理教授 上海交通大学安泰经济与管理学院金融系
时 间：2019年10月9日 14:30-16:00
We examine the effect of investor attention spillover on stock return predictability. Using a novel measure, the News Network Triggered Attention index (NNTA), we find that NNTA negatively predicts market returns with a monthly in (out)-of-sample R-square of 5.97% (5.80%). In the cross-section, a long-short portfolio based on news co-occurrence generates a significant monthly alpha of 68 basis points. The results are robust to the inclusion of alternative attention proxies, sentiment measures, other news- and information-based predictors, across recession and expansion periods. We further validate the attention spillover effect by showing that news co-mentioning leads to greater increases in Google and Bloomberg search volumes than unconditional news coverage. Our findings suggest that attention spillover in a news-based network can lead to significant stock market overvaluations, and especially when arbitrage is limited.
“Professor Jun Tu” is Assistant Professor of Finance (from July 2004 to June 2012) and Associate Professor of Finance (from July 2012) at the Singapore Management University (SMU). Prof Tu has served as the center director for the Centre for Asset Securitisation and Management in Asia at SMU from 2012 to 2014. He has been serving as Associate Editor for Journal of Economic Dynamics and Control (2018 - present) and Associate Editor for the Emerging Markets Finance and Trade (2013 - present). In addition, prior to SMU, he was studying as a Finance PhD student at Washington University in St. Louis. His main research interests are in Behavioral Finance, Empirical Asset Pricing, FinTech, Corporate Finance, Media and Asset markets, Big Data and Machine Learning, Textual Analysis, Financial Econometrics, International Finance. He is a receiver of several awards, including The Most-Cited Paper Reward (2015-2016) at Review of Financial Studies, Lee Foundation Fellowship for Research Excellence at SMU, Sing Lun Fellowship, Pacific Basin Finance Journal Prize (First Prize), and Research Fellowship at Washington University in St. Louis. His research articles have been published in top academic journals, including Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Journal of Financial and Quantitative Analysis, and Management Science. Besides academic impacts, his research has also been synthesized by leading industry-oriented journals, such as The CFA Digest, Citibank/UBS Reports. In addition, Prof Tu has presented his research to industry leaders, academic experts, and government regulators at various places.