题目：Does Air-Pollution Matter in Asset Pricing?
报告人：Yexiao Xu, The University of Texas at Dallas
时间：2019年3月12日上午9:00 -11: 00
地点：信息楼503
报告摘要：From the perspective of a firm, we argue that air pollution is a risk factor that will affect the firm’s fundamental. When air-quality risk increases, it not only depresses economic activities of firms but also alters investors’ preference for their stocks as well. Through this channel, the air pollution risk is likely to be priced. Using the Chinese data, we construct a unique measure of aggregate air quality change, which is in turn used to estimate the air pollution risk of individual firms. We show that the cross-sectional differences in the pollution betas are related to firms’ future fundamentals, such as profit margins, investment, and per capita output. More important, the differences in the air pollution risk can explain future return differences of individual stocks. Although our approach is different from the current research that adopts a behavioral approach to study weather related factors on equity returns, we control for possible behavioral bias. In addition, we present a natural experiment to account for alternative interpretations used against the air-quality risk being an independent risk factor.
报告人简介：Professor Yexiao Xu received his Ph.D degree in financial economics from Princeton University in 1996. Currently he is an associate professor in the School of Management, the University of Texas at Dallas. He has won the 2001 Smith-Breeden prize for a study on idiosyncratic risks--one of the most prestigious awards in Finance. His published and working papers have generated over 5,500 citations. Professor Xu's research interest covers stock market volatility, the pricing role of idiosyncratic risk, factor models, predictability, mutual fund performance, analyst research, tax and closed-end fund discounts, and adaptive estimators. Currently he is working on a number of topics including, asset pricing test, implied cost of capital, predictability of idiosyncratic risk, growth and risk, environmental risk, analyst ability, and many related issues. Professor Xu has taught Ph.D level theoretical and empirical asset pricing courses, financial econometrics, as well as MBA financial management and investment courses.
代表性论文：
[1] “Dividend Distributions and Closed-End Fund Discounts” (with Ted Day and Zhengzheng Li), Journal of Financial Economics, Vol 100, No. 3 (2011), p 579-593.
[2]“Unique Symptoms of Japanese Stagnation: An Equity Market Perspective,” (with Yasushi Hamao and Jianping Mei), Journal of Money, Credit, and Banking, Vol. 39, No. 4 (2007),pp 901-924.
[3]“Small Levels of Predictability and Large Economic Gains,” Journal of Empirical Finance, Vol. 11, No. 2 (2004), pp 247-275.
[4]“Investigating the Behavior of Idiosyncratic Volatility,” (with Burton G. Malkiel), Journal of Business, Vol. 76, No. 4 (2003), pp 613-644.
[5]“Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk” (with John Campbell, Martin Lettau and Burton G. Malkiel), Journal of Finance, (lead article) Vol. 56 (2001), pp.1-46. (winner of the Smith-Breeden Prize for 2001 for the best paper published in the Journal of Finance).
