Faculty of Business Administration

Visiting Scholar Seminar

Part I: Information Acquisition and Expected Returns: Evidence from EDGAR Search Traffic

Part II: Research Methods in Empirical Finance

Prof. Frank Weikai Li

Singapore Management University

Date: October 4, 2019 (Friday)

Time: 14:30~16:30

Venue: E22-2013

Part I: 14:30-15:30
Abstract of paper:

Using a novel dataset containing investors’ access of company filings through the SEC’s EDGAR system, we show that the abnormal number of IPs searching for firms’ financial statements strongly predicts future stock returns and fundamentals. A long-short portfolio based on our measure of abnormal information acquisition activity generates a monthly abnormal return of 80 basis points that is not reversed in the long run. Consistent with theories of costly information acquisition, the return predictability is stronger for firms with larger and lengthier financial filings that are more costly to process. We further show that abnormal number of IPs increases following mutual fund outflow-induced fire sale and predicts future firm profitability, earnings surprise and analyst forecast revisions. Alternative explanations including news announcements, investor recognition, price pressure, and omitted risk factors do not seem to explain our results.

Part II: 15:30-16:30

Prof. Li will introduce some popular research methods used in empirical finance.

Biography

Frank Weikai Li is an Assistant Professor of Finance at the Lee Kong Chian School of Business, Singapore Management University. He received his Ph.D. in Finance from the Hong Kong University of Science and Technology in 2017 and B.A. in Economics from Zhejiang University in 2012. His research areas are empirical asset pricing, behavioral finance, informed trading, and climate finance. His paper is published or forthcoming in the Journal of Financial Economics, Journal of Financial and Quantitative Analysis, Journal of Econometrics, and Review of Asset Pricing Studies. His research has been presented at numerous academic conferences and practitioner events. His papers have received several awards such as the CICF Best Paper Award, the Chicago Quantitative Alliance Asian Academic Competition Research Paper Award, the FMA Asia Best Paper Award in Investment, the Asian Finance Association Best Paper Award, the AFBC PhD Forum Best Paper Award (first prize), and the Best Paper Award at Conference on the Theories and Practices of Securities and Financial Markets.