题目：Private Subsidiaries’ information disclosure: Does it matter in the cross-section of stock Returns?

演讲人：张然，助理教授，上海交大安泰经济与管理学院

主持人：郭雳，助理教授，半岛·体育bob官方网站国际金融系

时间：2019年12月3日 13:30-15:00

地点：半岛·体育bob官方网站805会议室

主办：复旦大学国际金融系

演讲内容简介：

Public firms may choose to have private subsidiaries to hide bad news and/or proprietary information. We hypothesize that the private subsidiaries’ information disclosure (PSID) level reflects the degree of information hiding activities of their parental firm, and may be able to forecast the future performance of parental firm. Empirically, we find that the higher the PSID level, the larger the future returns of their public parent firms. A long-short value-weighted portfolio of public parent firms sorted on their PSID yields a significant Fama and French (2018) six-factor alpha of more than 50 bps per month. This PSID based abnormal return cannot be explained by a variety of risk factors, firm characteristics, and risk-based arguments.