财务金融系系列讲座之六十一

时间：　2011年3月22日 （周二） 下午13：30

地点：　史带楼503教室

主持人：孙谦 教授　 复旦大学管理学院财务金融系主任

题目：　 R-Squared, Noise, and Stock Returns　

摘要:

Return R2 is the statistic obtained by regressing individual stock returns on return factors. We find that stocks with lower R2 are more difficult to value, tend to be affected by investor sentiment, attract retail investors, and are avoided by institutional investors. We examine the relation between R2 and expected stock returns, and find that stocks with lower R2 earn higher future returns. From July 1966 through June 2008, the average return on low R2 stocks exceeds that on high R2 stocks by 0.38% per month, after adjusting for the market return as well as size, value, momentum, and liquidity factors.　 These results are consistent with the conjecture that stocks with lower R2 have poor information quality and are more likely to be subject to noise trading. According to DeLong, Shleifer, Summers and Waldmann (1990), such stocks assume higher noise trader risk and hence command higher expected returns. Based on R2, we form a noise trader risk factor by constructing a factor mimicking portfolio that goes long on stocks with low R2 and short on stocks with high R2. We find that the sensitivities of stocks to this factor could explain the cross-section of stock returns, even when their sensitivities to other conventional return factors are controlled. The results suggest that the trading activities of noise traders are correlated and affect stock returns in a systematic way.

主讲人：罗妍 博士 复旦大学管理学院财务金融系

简介：罗妍博士于2010年9月份正式入职管理学院财务金融系。2010年8月份她获得香港大学金融学博士学位，她的研究兴趣主要是行为金融学，资产定价和共同基金等。　

　财务金融系

2011年3月16日