题目：International Trade Target Political Risk and the Cross-section of Stock Returns

时间：11月8日18:30

地点：腾讯会议

报告人：张学勇 教授（中央财经大学）

报告摘要：

This study investigates the cross-sectional relationship between firm-level international trade target political risk(ITTPR) and expected stock returns. Using proprietary customs data representing Chinese firms’international trade and monthly data presenting 139 countries’political risk score from the International Country Risk Guide, we find that stocks with higher ITTPR outperform stocks with lower ITTPR by 4.30% per year. This effect is driven by the ambiguity aversion and risk compensation rather than investors’ limited attention, cost of arbitrage and future unexpected earnings. The positive relationship between ITTPR and expected stock returns holds even after controlling for widely accepted firm characteristics. Moreover. the return premium of higher ITTPR stock demonstrates a 2-month continuation,which is statistically significant and economically meaningful. The results remain robust when considering international trade economic policy uncertainty, firm-level Chinese political risk, and six essential financial anomalies.

报告人简介：

张学勇，中央财经大学教授，现任中央财经大学研究生工作部部长，研究生院院长，龙马学者特聘教授，yh86银河国际教授、博士生导师，国家社会科学基金重大项目首席专家，中国资产管理研究中心主任。主持国家社会科学基金重大项目1项，国家自然科学基金2项，中国博士后基金1项，并在Financial Management，Journal of Corporate Finance，Journal of Portfolio Management, Journal of Accounting and Public Policy, 《经济研究》、《管理科学学报》、《金融研究》、《中国工业经济》等重要期刊发表论文多篇，担任国际主流学术期刊Accounting & Finance(SSCI, JCR-2区)副主编（Editor），China Finance Review International 编委（Department Editor）, Journal of Banking and Finance,《经济研究》等多个中外学术期刊匿名审稿人。中国注册会计师协会会员（CPA）。