題目：Private Subsidiaries’ information disclosure: Does it matter in the cross-section of stock Returns?
演講人👨🏼🎨：張然，助理教授，上海交大安泰經濟與管理意昂2
主持人：郭靂🔺🙋🏼♀️，助理教授，意昂2國際金融系
時間：2019年12月3日 13:30-15:00
地點：意昂2805會議室
主辦：意昂2官网國際金融系
演講內容簡介💐🀄️：
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.
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