讲座题目：Is There a Growth Premium? Evidence from Daily Online Sales Growth in Real Time

主讲嘉宾：中央财经大学 贾越珵

讲座时间：2023年10月16日（周一）下午2:00-3:30

讲座地点：后主楼1722

嘉宾介绍：贾越珵，中央财经大学中国金融发展研究院-长聘副教授，美国俄克拉荷马州立大学金融学博士。主要研究领域包括资产定价、机器学习、深度学习、大宗商品。在Journal of Banking and Finance, Journal of Empirical Finance，European Financial Management, Pacific-Basin Finance Journal等刊物上发表论文多篇。另有多篇论文在国际权威期刊送审后修订并重新提交。2018年以来深耕量化投资领域，在头部量化私募兼任核心投研与股票量化策略投资经理，全权管理多支股票中性策略产品和指数增强产品。精通Python和C++编程在量化投资实践和程序化交易系统搭建中的应用。

内容摘要：By using a proprietary real–time daily online sales data collected in China from 10–billion consumer accounts, this paper finds that the firm–level daily online sales growth (DOSG) can positively predict future one–day to more than three–month cumulative stock returns in the cross section, implying a growth premium in contrast to Lakonishok, Shleifer, and Vishny (1994). A spread portfolio that is long on stocks with high DOSG and short on stocks with low DOSG delivers an abnormal return of around 30 basis points per week. DOSG derives its short–run (e.g., weekly) predictability from investor sentiments, tilting to a behavioral explanation. However, it derives its medium to long–run (e.g., three–month) predictability from fundamentals, voting for a rational explanation. Our further evidence indicates that stocks with high DOSG experience more intensive information acquisition from retail investors and less severe crash risk, implying online sales as a channel for retail investors to get access to daily real–time firm fundamentals.