講 座：Investor Sentiment and Paradigm Shifts in Equity Return Forecasting
題 目：Investor Sentiment and Paradigm Shifts in Equity Return Forecasting
嘉 賓：Jun Tu, Associate professor, Lee Kong Chian School of Business, Singapore Management University
主 持 人：張然 助理教授 上海交通大學安泰經濟與管理學院金融系
This study investigates the impact of investor sentiment on excess equity return forecasting. A high (low) investor sentiment may weaken the connection between fundamental economic (non-fundamental behavioral-based) predictors and market returns. We find indeed that even though fundamental variables can be strong predictors when sentiment is low, they tend to lose their predictive power when investor sentiment is high. As for non-fundamental predictors, they can perform well during high-sentiment periods while their predictive ability deteriorates when investor sentiment is low. The paradigm shifts in equity return forecasting provide a key to understanding and resolving the lack of predicting power for both fundamental and non-fundamental variables debated in recent studies.
“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) and Associate Editor for the Emerging Markets Finance and Trade (2013 - 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, International Finance. 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. In addition, Prof Tu has presented his research to industry leaders, academic experts, and government regulators at various places.