科学研究
报告题目：FinTech Revolution: The Hidden Impact of Private Money Creation on the Cross Section of Stock Returns
报告人：刘文琼
报告时间：2024年3月7日（周四）9:30-11:00
报告地点：劝学楼245
主办单位：betway必威 辽宁省资本市场财务与会计研究生创新与学术交流中心
【报告摘要】
Private money creation in the form of money market funds exerts a disproportionate impact on stock returns in the cross section. We argue that the distinctive feature of yield accrual (as opposed to stock investing) incentivizes investors of speculative stocks to seek safety on specific days, which has the power to explain the stylized cross-sectional pattern: Long-short anomaly strategies that buy non-speculative stocks and sell speculative stocks experience low Monday-through-Wednesday returns and high Thursday-through-Friday returns. Causality is addressed using the FinTech revolution on money market funds: Difference-in-differences evidence indicates that the cross-sectional seasonality is amplified by more than 100 percent after the FinTech-led exogenous shock. The enlarged seasonality comes predominantly from the short-leg speculative stocks, and is stronger in high volatility periods.
【报告人简介】
刘文琼，比利时根特大学经济系博士生。2017年在南开大学获得经济学学士学位，2019年在比利时荷兰语鲁汶大学获得经济学硕士学位。主要研究方向为金融科技、资产定价与行为金融学等。工作论文被New Zealand Finance Meeting，the Annual Meeting of the Spanish Finance Association，Portuguese Financial Network Conference，International French Finance Association Conference，Belgian Financial Research Forum，New Zealand Finance Colloquium，European Financial Management Association等国际学术会议接受并参与研讨，并在European Financial Management Association 2023 Annual Meeting 上被提名Capital Markets Best Paper Awards。
【特别提醒】
未经论文作者和主办方允许，严禁将讲座内容录制并公开传播，违者将有可能被追究法律责任。
