【主讲人】张英广 助理教授
【主持人】高明 副教授
【报告题目】Which Misvaluations Matter for Firm Investment?

【报告摘要】Which misvaluations have real impact on firms' investment decisions? Using merger announcements to proxy for firms' large investment decisions, we show that investing firms are "overvalued" by book-to-market and asset growth, but "undervalued" by profitability and past return. Among these common determinants of cross-sectional stock returns, asset growth is the only significant predictor of firms' post-merger underperformance. Consistent with the hypothesis that firms with high asset growth underperform partly because of overly optimistic expectations about their investments, long-term growth forecasts also predict acquirers' post-merger underperformance, and this effect is subsumed by asset growth. In the full cross-section, a factor constructed by trading against long-term growth forecasts significantly explains the premium earned by the investment factor based on asset growth. Our results highlight the importance of mispricings that stemmed from biased expectations as they most significantly distort firms' investment decisions.

【主讲人介绍】Yingguang Zhang (张英广) joined Peking University, Guanghua School of Management as an Assistant Professor in Finance in 2019. He received his Ph.D. in Finance from the University of Southern California, Marshall School of Business, and his Bachelor's degree in Economics and Statistics from the University of California at Berkeley. Zhang specializes in empirical asset pricing and behavioral finance. His recent research focuses on how market participants' expectation dynamics predictably affect stock prices. His work has been presented at international conferences such as CQA 2019, AFA 2019, SFS Cavalcade 2018. His paper "The Earnings Announcement Return Cycle" with Juhani Linnainmaa won the best paper award at CQA 2019.