2020 Shanghai Financial Forefront Symposium Held Online


On December 19th and 20th 2020, the 2020 Shanghai Financial Forefront Symposium sponsored and organized by the Department of Finance of ACEM was held online. This symposium was jointly hosted by Zhang Ran from the Department of Finance of ACEM and Tu Jun from the Lee Kong Chian School of Business of SMU, and over 250 teachers and students from various universities and colleges home and abroad attended this symposium.To get more news about master Degree in Management, you can visit acem.sjtu.edu.cn official website.
On the morning of December 19, Professor Wu Wenfeng, the deputy dean of ACEM, gave a welcome speech and introduced the development history of ACEM and the agenda of this symposium. The first item in the agenda was the report and review of four papers. The first paper was “Searching for the Equity Premium” by Professor Lu Zhang from the Ohio State University, who proposed the unified equilibrium theory to explain the equity premium puzzle, and the market risk premiums from the perspective of production, and to indicate the important role of risk aversion and wage inertia therein. The second paper was “The Aftermath of Corporate Default with Chinese Characteristics” by Professor Warren Bailey from the Cornell University, who found in the study that borrowing after default declines if the lender or borrower is not state-controlled or if the borrower is located in a highly developed province, and in particular, the financing level of emerging non-bank firms decreases significantly after default. Meanwhile, the employment of state-controlled firms increases significantly after default. The third paper was “Maximizing the Sharpe Ratio: A Genetic Programming Approach” by Professor Guofu Zhou from the Washington University in St. Louis, who systematically sorted out and summarized the literature on forecasting cross-section of stock returns with machine learning method, affirmed the results of applying machine learning in the field of asset pricing, and used a genetic programming approach to study the maximization of Sharpe Ratio. The fourth paper was “Why Does Option Volume Predict Stock Returns? The Role of Investor Disagreement and Mispriced Stocks” by Professor Allaudeen Hameed from the National University of Singapore, who explained the strong negative relation between option trading volume and future stock returns from the perspective of investor disagreement, since investor disagreement will bring up higher option trading volume, while the existing study already found that high option trading volume often corresponds to negative stock returns. Professor David McLean from the Georgetown University, Assistant Professor Ruichang Lu from Peking University, Professor Allaudeen Hameed from the National University of Singapore and Associate Professor Lei Jiang from Tsinghua University reviewed the above four papers respectively. Then Professor Hendrik Bessembender of Arizona State University delivered a keynote speech “Return Horizon and Mutual Fund Performance”, and brought up the following thought-provoking question: If zero short-horizon alpha need not imply zero long-horizon alpha, and positive (negative) short-horizon alpha can be consistent with negative (positive) alpha, even within a single dataset, can alpha still be interpreted as being informative regarding managerial skill? If completely different conclusions are drawn from different horizons, then what horizon is the most reasonable?
On the morning of December 20, the second session of paper report and review was held. The first paper “Private Subsidiaries’ Information Disclosure and the Cross-sectional Equity Returns of Public Parent Firms” was shared by Professor Turan G. Bali from the Georgetown University, who constructed the PSID variable creatively in study, to measure the private subsidiaries’ information disclosure, and found that PSID is positively related to the future performance and future stock returns of the parent firm and the return predictability of PSID is not explained by established factor models and firm characteristics. The second paper was “Syndicate Structure, Primary Allocations, and Secondary Market Outcomes in Corporate Bond Offerings” by Professor Kumar Venkataraman from the Southern Methodist University, who found in study that generally syndicate underwriting strategy will be used in corporate bond offerings to manage the deal complexity and uncertainty regarding investor demand. Overallocation reflects the attitude of underwriting syndicate towards bond offering ability. The lower the spread in first month of overallocation, the higher the participation of retail investors. The third paper “Retail Investors and Analysts” was shared by Professor David McLean from the Georgetown University, who found that analysts' stock recommendation behavior and target stock price correction suggestions clearly convey analysts' investment suggestions, and retail investors respond actively to them. Furthermore, it is found that star analysts have a greater impact on retail investors. The fourth paper “What Makes Short Selling Risky：Other Short Sellers” was shared by Professor Paul H. Schultz from the University of Notre Dame, who found that short selling has high risk, and the higher the loan utilization rate is, the greater the corresponding short selling risk is. He believes that at a given cost level, compared with the stocks with low utilization, stocks with high utilization will have lower future returns. Professor Guofu Zhou from the Washington University in St. Louis, Professor Paul H. Schultz from the University of Notre Dame, Professor Lu Zhang from the Ohio State University and Professor Kumar Venkataraman from the Southern Methodist University reviewed the above four papers respectively.