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本期主题
Market Power, Technology Shocks, and the Profitability Premium
时 间：2025年3月10日（Mon.）
13:30 p.m. - 15:00 p.m.
地点：同德楼204
主讲：罗顶（香港城市大学）
报告摘要
This paper studies how market power affects the well-documented positive relation between firms’ profitability and future stock returns in the cross-section. We find that this relation is significantly more pronounced among firms with high markup. A long-short portfolio sorted on profitability earns an average monthly return of 0.57% among firms with high markup, and only 0.05% among firms with low markup. Firms’ differential exposure to investment-specific technology shocks explains this gap. To understand these results, we introduce market power into a standard investment-based asset pricing model to study its impact on firms’ endogenous investment and risk exposures. Market power exacerbates the displacement risk faced by highly profitable firms.
报告人简介
Ding Luo joined City University of Hong Kong as an Assistant Professor of Finance in August 2018. He received his PhD in Finance from Carlson School of Management at University of Minnesota. Dr. Luo specializes in empirical and theoretical asset pricing, and macro finance. His research has been published in Review of Financial Studies and presented in international conferences, including American Finance Association Annual Meeting, European Finance Association Annual Meeting, SFS Cavalcade North America, China International Conference in Finance, Northern Finance Association Annual Meeting, Econometric Society meetings, and Society for Economic Dynamics Annual Meeting.
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