Does Express Delivery Run ahead of Stock Price?

讲座名称: Does Express Delivery Run ahead of Stock Price?
讲座时间: 2020-12-07
讲座人: 张博辉
形式:
校区: 兴庆校区
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讲座内容: 讲座题目:Does Express Delivery Run ahead of Stock Price? 讲座时间:2020年12月7日上午9:30-11:30 讲座地点:腾讯会议号:597 245 443 讲座人:张博辉 讲座内容: We study the role of logistics information in the price discovery process. Using a proprietary data set on firm-level logistics service records covering 2,035 firms during 2011 to 2019 from the largest express delivery service provider in China, we find that parcel delivery contains firm-specific information for stock pricing. A long-short portfolio by buying (selling) stocks with the high (low) quarterly growth in the number of parcels sent by firms generates a 9.72% risk-adjusted return annually. The return predictability of parcel growth holds after controlling for firm characteristics and stays persistent in up to three quarters without any reversal. This predictability is more significantly driven by firms’ delivery of document-related (light) parcels than goods-related (heavy) parcels. Moreover, parcel growth positively predicts firm growth, profitability, and earnings surprises. We last show that institutional investors and insiders may observe the value-relevant information contained in parcel growth, and adjust their positions before such information is fully revealed to the public. 经济与金融学院 2020年11月26日
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