题目：Can real option help explain the relationship between cash holding and the economy?
时间：2014年4月18日（周五）15:00-16：30
地点：嘉庚二号楼501教室
报告人：Ping-Wen (Steven) Sun，Lecturer，Jiangxi University of Finance and Economics
主持人：Tony Ruan, assistant professor of finance, IFAS
论文摘要：
We use empirical real option proxies – book to market ratio, idiosyncratic volatility, and return on asset to examine the phenomenon that stocks with higher cash holdings earn higher future returns. Specifically, we regress a firm’s cash holding on its real option proxies and define the predicted value as the firm’s real option component of cash holding. We find that the change in firms’ aggregate real option component of cash holding negatively correlates with the concurrent and one quarter ahead GDP growth rate. In addition, stocks with more negative sensitivity to innovation of the aggregate real option component of cash holding earn higher future returns. We construct a real option related cash holding factor (most negative factor loading portfolio minus highest factor loading portfolio) and show that this factor can subsume the abnormal returns earned by higher cash holding firms from the CAPM model. Our empirical results suggest that firms with higher cash holding are more sensitive to innovation in aggregate real option component of cash holding and therefore earn higher future returns.
报告人简介：
Dr. Ping-Wen (Steven) Sun is working as a Lecturer at International Institute for Financial Studies at Jiangxi University of Finance and Economics. He obtained his Bachelor of Science in Mechanical Engineering from Taiwan University in 1997 and Master of Science in Mechanical Engineering from Taiwan University in 1999. He obtained his Master of Business Administration degree with a concentration in finance from Binghamton University in 2006. He obtained his Doctor of Philosophy in Business Administration with a concentration in finance from Louisiana State University in 2012. His research interests include empirical asset pricing, institutional investors, financial analysts, market microstructure, and macroeconomics. Recently, he has a coauthored paper titled "Price delay premium and liquidity risk" published on Journal of Financial Markets.