发布者:wuhuizhuan 发布时间：2016-06-12 15:13:43 浏览数： 次 [ 返回 ]
报告人：Jun Chen, Senior Lecturer of Finance, Auckland University of Technology, New Zealand
主持人：George Wu, Assistant Professor of Finance, Xiamen University
Recent literature has focused on asset growth and profitability (measured as GP/TA) as factors in predicting future returns. We construct a measure that combines both asset growth and scaled gross profit in a single measure, by deducting the change in capital expenditures from gross profit. We demonstrate that our measure of profitability controls for the agency problem from managerial decisions in investment. Our results are also robust to the scaling issues raised by Ball et al (2014). Further, our measure produces superior results in the full universe of CRSP stocks, but inferior results when applying to a subset of the 500 largest nonfinancial firms. It is consistent with the factor that those largest firms are less affected by the agency problems, leading to the failure of our new measure in predicting future returns among this subsample. In sum, our new measure does reflect the pricing of agency issues.
Jun Chen earned his PhD in Finance from University of Texas at San Antonio, USA. His research interests include Corporate Finance, Market Microstructure, International Finance, and Real Estate. He has published papers in journals such as International Review of Financial Analysis, Journal of Banking and Finance, and International Journal of Managerial Finance.