一、主讲学生与论文题目：

程军溢（2016级博士生）：Fund Active Share and Market Return

张远（2016级博士生）：The Effect of Rising Leverage Ratio on Household Consumption: A Perspective of Classification of Heterogeneous Households

王科（2017级博士生）：Career Concerns and ESG Evidence from Relative Performance Evaluation

胡云鹏（2018级博士生）：Bank Loan Sales and Stock Price Crash Risk

吴祯姝（2018级博士生）：Intra-Industry Effects of Negative CSR Events

二、时间：2021年10月16日（周六）下午14:00-16:30

三、地点：腾讯会议

四、点评与讨论教师：

彭俞超 中央财经大学金融学院 副教授

吴锴 中央财经大学金融学院 助理教授

夏聪 中央财经大学金融学院 助理教授

五、主持人：彭俞超副教授 中央财经大学金融学院学术交流部主任

六、论文摘要：

1. Fund Active Share and Market Return

This paper constructs a fund manager heterogeneous belief index, Active Share Standard Deviation (ASSD), based on mutual fund managers’ active share data. We find ASSD is a significant negative predictor of future market excess return with quarterly in-sample and outsample R2 of 4.22% and 4.77%, respectively, outperforming other investors heterogeneous belief index and commonly used macroeconomic predicting variables, e.g. stock variance of the market (SVAR). Our empirical results of negative relationship between ASSD and future market excess return are robust when using alternative market (NYSE and NASDAQ) and selecting different in-sample and out-sample time windows. Moreover, ASSD is a persistent investors heterogeneous belief index as its predicting power is more significant for longer horizon predictions.

2. Career Concerns and ESG Evidence from Relative Performance Evaluation

This paper uses a regression discontinuity design to identify the effect of career concerns on firm-level Environmental, Social, and Governance (ESG) engagement. We use missing the stock price target set by Relative Performance Evaluation (RPE) as a proxy for Chief Executive Officers (CEOs)’ career concerns. We find that CEOs who narrowly miss the RPE target and hence have higher ESG engagement than otherwise similar successful CEOs who narrowly beat the RPE target. We also find that career concerned CEOs who narrowly miss relative performance goals become more likely to engage in social responsibility activities, including bringing benefits to work force and human rights. These results imply that ESG may be a hedge tool for career concerned managers to make up for their failure in RPE. This unintended mechanism benefit society as a whole.

3. Bank Loan Sales and Stock Price Crash Risk

We examine whether bank loan sales in the secondary market are associated with the stock price crash risk of borrowing firms from 1996 to 2017. We find that borrowing firms are associated with significantly higher stock price crash risk after bank loan sales, and such effect is concentrated in sales of the term loan, limited line, and banknotes, and loans with longer maturity. Moreover, the increase in stock price crash risk is more pronounced for firms with higher risk-taking behaviors and higher financial constraints. The reduced monitoring incentives from lead lenders are identified as the underlying mechanism as it leads to high information asymmetry and less accounting conservatism in borrowing firms. Overall, our findings provide support to the notion that bank loan sales in the secondary market have strong risk implications for stock prices.

4. Intra-Industry Effects of Negative CSR Events

This paper investigates the intra-industry effects of negative CSR events in China. We find that, on average, rivals experience a significant decline in stock prices during the event announcement, indicating that the contagion effect dominates the competitive effect for the negative CSR events. Such effects are mitigated when rivals have good CSR performance, political connections, or external environment and when rivals are in intensive competitive industries or environmentally sensitive industries.