Job Talk：Macroeconomic Productivity Perceptions and Anomalies 发布时间：2024-01-03
题 目：Macroeconomic Productivity Perceptions and Anomalies
嘉 宾：Zhiwei Su(苏智伟) Research Assistant Professor University of Macau
主持人：凃俊 教授 上海交通大学安泰经济与管理学院
地 点：上海交通大学 徐汇校区安泰楼B207室
This paper studies the heterogeneous effects of subjective macroeconomic productivity expectations on the cross-section of equity returns. We argue that an upward revision in expectations of macroeconomic productivity might be accompanied by an excessive increase in investment and external financing, inflated current equity prices, and thus lowered subsequent returns, particularly for financially constrained firms. Thus, following upward revisions in expectations of macroeconomic productivity, subsequent returns are relatively low for small firms, value firms, low-investment firms, risky firms, unprofitable firms, low-quality firms, and financially distressed firms—all of which are more financially constrained. In sharp contrast, following downward revisions in expectations of macroeconomic productivity, these categories of firms earn relatively high subsequent returns. We find that revisions in subjective expectations of macroeconomic productivity induce strong predictable time variation in a large set of anomalies. In particular, favorable revisions in expectations of macroeconomic productivity predict significantly stronger profitability, quality, distress, and low-risk anomalies but weaker value, investment, and size anomalies.
Zhiwei Su is a Research Assistant Professor in Finance at the University of Macau. He received his PhD degree from Tsinghua University PBC School of Finance in 2022, and bachelor’s degree from University of International Business and Economics in 2017. His research interests center around asset pricing and behavioral finance. His papers have been presented at WFA, CICF and FMA. His most recent research uses macroeconomic forecast revisions to predict equity market anomalies.