演讲人：K.C. John Wei（School of Accounting and Finance, Hong Kong Polytechnic University; Professor）

时间：2025年4月3日（周四）12:00-13:00

地点：同济大厦A楼505室

同步#腾讯会议：328689483

会议密码：483467

链接：https://meeting.tencent.com/dm/QnEauHXH2ajW

摘要：

This paper empirically investigates how an industry’s systematic risk exposure and stock returns are affected by the market concentration of its upstream and downstream industries. In the cross-section of U.S. industries, we find that industries’ cash flows and stock returns are more negatively exposed to fluctuations in the aggregate discount rate if their upstream or downstream industries are more concentrated. These industries also have higher expected stock returns and costs of capital. Our paper highlights the role of vertical competition in determining firms’ systematic risk and expected returns.

个人简介：

Professor John Wei is currently Distinguished Research Professor of Financial Economics at The Hong Kong Polytechnic University (PolyU). He received his PhD in Finance from the University of Illinois Urbana-Champaign. He previously taught at University of Mississippi, University of Miami, and Indiana University. Before joining PolyU, he served as Chair Professor of Finance at Hong Kong University of Science and Technology (HKUST) and had worked there for 24 years. He previously served as Director of Value Partners Center for Investing and Director of the Center for Asian Financial Markets and Director of Master of Science (Financial Analysis)/(Investment Management) Programs at the HKUST for many years. He served as Acting Head in the Department of Finance at HKUST during the period of January 2000-August 2002, February-June 2003, and June 2015. Moreover, he assisted to develop wealth management and investment models for, among others, Hang Seng Bank Limited, HSBC Corporation Limited, and Fidelity Investments Management (Hong Kong) Limited.

Professor Wei’s research interests are mainly in the areas of empirical asset pricing, international finance, and corporate governance. He has published more than sixty articles in leading finance and accounting journals, including Journal of Finance, Journal of Financial Economics, The Accounting Review, Management Science, Journal of Financial and Quantitative Analysis, and Journal of Business, among others.

Professor Wei is best known for his extensive research on the cross-section of stock returns in the U.S. and international markets. He has discovered some new and important anomalies associated with cross-sectional return predictability and have first introduced “individualism” to the empirical asset pricing literature. Four of these papers have been cited by 2013 Economic Nobel Prize Laureate, Eugene Fama, and his co-author, Kenneth French. Most of his papers are well cited. Many of his papers are associated with the foundation of those factors in the Fama and French (2015) five- factor model and the Hou, Xue, and Zhang (2015) q-factor model.

He has received more than 8.1 million HK dollars (= 1.04 million US dollars) grant from Hong Kong SAR’s Research Grants Council as principal investigator.