题目：What drives a firm's ES performance? Evidence from stock returns
报告人：Yaqiong (Chelsea) Yao, Lancaster University
时间：2018年11月30日上午9:00 -10: 30
地点：博萃楼阳光房
报告摘要：
We examine how the environmental and social (ES) performance of a firm interacts with its stock market returns. We document that stock returns are negatively and significantly associated with future ES performance, whereas the association between ES performance and future stock returns is insignificant. We find that these patterns are stronger for firms that suffer more from agency problems (i.e., firms with higher cash flows, lower debt ratios and more share repurchases). Further, we provide collaborative evidence that poor short-term stock performance plays an important role in explaining better voting outcomes of ES shareholder proposals, especially in those firms with agency concerns.
报告人简介：
Yaqiong (Chelsea) ,Yao is an Associate Professor of Finance at Lancaster University Management School. She was Visiting Research Professor at New York University's Stern School of Business from March to August 2015. Her research interests lie in cross-sectional momentum, time-series momentum, contrarian, seasonality, profitability, sustainable investing, and institutional investors. She has been awarded Best Track Award in Risk Management by US Academy of Finance in 2017, Research Pump-Priming Grant by Lancaster University in 2014, Dean's Award for Research Excellence by the University of Melbourne in 2013, and American Finance Association Doctoral Travel Grant in 2012. She received her PhD in Finance from the University of Melbourne (Australia) and was a Visiting PhD Scholar at NYU Stern from January to July 2012.
代表性论文：
[1]Lim, B., Wang, J., Yao, Y. 2018, Time-Series Momentum in Nearly 100 Years of Stock Returns. Journal of Banking and Finance. 97, p. 283-296.
[2]Ji, X., Spencer Martin, J., Yao, Y. 2017, Macroeconomic risk and seasonality in momentum profits. Journal of Financial Markets. 36, p. 76-90.
[3]Brown, S.J., Sotes-Paladino, J., Wang, J., Yao, Y. 2017, Starting on the Wrong Foot: Seasonality in Mutual Fund Performance. Journal of Banking and Finance. 82, p. 133-150.
[4]Yao, Y. 2012, Momentum, contrarian, and the January seasonality. Journal of Banking and Finance. 36, p. 2757-2769.
