讲座题目：Sticky expectations and cross-firm return predictability （粘性预期与跨公司收益率可预测性）

主 讲 人：陈梓麟      西南财经大学金融学院

讲座时间：2025年04月28日10:30

讲座地点：学院161

讲座内容摘要：

Previous empirical studies document a striking cross-firm return predictability among economically linked firms. This study reveals that the cross-firm return predictability is attributable to analysts' sticky expectations. Notably, the return predictability is more pronounced for focal firms covered by analysts with stickier expectations, particularly during earnings announcement days. Furthermore, this effect remains robust against alternative explanations and is evident across different sub-samples, alternative measures of expectation stickiness, various economic linkages, and most of other countries. Our findings highlight a novel insight that analysts' sticky expectations serve as an important force in driving investors' underreaction to the valuable information from economically linked firms.

以往文献表明，经济关联企业之间存在显著的跨企业收益可预测性。本研究揭示，这种跨企业收益可预测性可归因于分析师的预期粘性。对于由预期更粘性的分析师覆盖的核心企业，这种收益可预测性在财报公布日尤为显著。此外，这一效应在排除其他可能的解释后依然稳健，并且在不同的子样本、预期粘性的不同衡量方式、不同经济关联中以及大部分国家均有体现。我们的研究发现揭示一个新的见解，即分析师的预期粘性是驱动投资者对经济关联企业中有价值信息反应不足的重要因素之一。

主讲人学术简介：

陈梓麟，西南财经大学金融学院副教授，研究领域为资产定价与国际金融，博士毕业于新加坡管理大学，论文发表于Journal of Financial Economics、Journal of Banking and Finance、Journal of Economic Dynamics and Control等国际期刊。