Analyst Sentiment, Mispricing, and Over-Investment（分析师情绪、错误定价与过度投资）

时间：4月21日（周五） 10:00-11:30

腾讯会议号：508-649-581

主讲人：Jun Tu

主持人：（北大经院）王熙

参与老师：（北大经院）王一鸣、刘蕴霆、王法

                  （北大国发院）黄卓、张俊妮、孙振庭

      （北大新结构）胡博

摘要：We create a market-level analyst sentiment index from firm-level textual tones in analyst reports and compare it to existing investor sentiment indices. High investor sentiment typically corresponds with high analyst sentiment, leading to market overpricing. Our analysis shows that the analyst sentiment index negatively predicts aggregate stock market return. Existing investor sentiment indices have been relatively flat in recent years, casting doubt on their ability to reflect underlying investor sentiment. Conversely, the analyst sentiment index still fluctuates and may better reflect underlying investor sentiment. Additionally, analysts may give less favourable tones when manager sentiment is high, which can mitigate inefficient over-investment due to managers' overoptimistic views.

主讲人简介：

“Professor Jun Tu” is Assistant Professor of Finance (from July 2004 to June 2012) and Associate Professor of Finance (from July 2012) at the Singapore Management University (SMU).  Prof Tu has served as the center director for the Centre for Asset Securitisation and Management in Asia at SMU from 2012 to 2014. He has been serving as Associate Editor for Journal of Economic Dynamics and Control (2018 - present), Subject Editor for the Emerging Markets Finance and Trade (2013 - present), and Associate Editor for China Finance Review International (2020 -present). In addition, prior to SMU, he was studying as a Finance PhD student at Washington University in St. Louis. His main research interests are in Behavioral Finance, Empirical Asset Pricing, FinTech, Corporate Finance, Media and Asset markets, Big Data and Machine Learning, Textual Analysis,  Financial Econometrics. He is a receiver of several awards, including The Most-Cited Paper Reward (2015-2016) at Review of Financial Studies, Lee Foundation Fellowship for Research Excellence at SMU, Sing Lun Fellowship, Pacific Basin Finance Journal Prize (First Prize), and Research Fellowship at Washington University in St. Louis. His research articles have been published in top academic journals, including Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Journal of Financial and Quantitative Analysis, and Management Science. Besides academic impacts, his research has also been synthesized by leading industry-oriented journals, such as The CFA Digest, Citibank/UBS Reports.