【公开学术报告】Aggregate Corporate Sustainable Growth and Stock Market Returns

Date & Time: 14:00-15:30, Wed. 17^th, March 2021

Venue: Room 2101, Tongji Building A

Language: English

Speaker:Dr. Liya Chu (ECUST)

ABSTRACT

We find that various individual corporate sustainable growth measures (environmental, social, and governance) have a common component that has significant power in predicting stock market premium, both in-sample and out-of-sample. By extracting the common component from individual corporate sustainable growth measures based on partial least squares approach, we document that the return predictive power of aggregate corporate sustainable growth is robust after controlling for standard macroeconomic and uncertainty variables. Moreover, aggregate corporate sustainable growth is also able to predict cross-sectional stock returns sorted by various industries and can deliver sizable economic gains for mean-variance investors in asset allocation.

Guest Bio:

Liya Chu is currently Assistant Professor at School of Business, East China University of Science and Technology. She holds a PhD degree in Business (Finance) from Singapore Management University. The primary field of her research interests include Investor Psychology/Sentiment, Risk Management, Corporate Sustainability, Big Data and Machine Learning and so forth.