讲座时间：3月19日15:00
讲座地点：0411室
讲座题目：Aggregation of Idiosyncratic Shocks in the Customer-Supplier Network
讲座梗概：
Using customer-supplier networks, we document a strong increase in stock return comovement between customer and supplier after the establishment of their relationship. This increase in comovement is mainly associated with cash flow news and firm-specific information. The idiosyncratic shocks to customers diffuse through the customer-supplier network and aggregate into a systematic risk, which affects suppliers’ expected returns. Using a long-short portfolio based on exposure to aggregated customer risk, we realize an annual excess return of 3.1% (value-weighted) and 6.11% (equal-weighted), respectively. The customer risk factor cannot be explained by market, size, book-to-market or momentum factor.
主讲人信息：
Yi Liu is a Ph.D. candidate of finance at University of Wisconsin-Milwaukee. His research interest is corporate finance, asset pricing, and behavioral finance. His current research projects contribute to trending topics including corporate espionage, connected firms, customer-supplier network, and firms' decisions on precautionary cash reserves. Yi Liu is dedicated to discover and collect unique financial datasets and provide insights to critical issues in finance research from a new perspective. He also concentrates on revealing complicated connections among firms and tracing capital flows of the economy, in an effort to diagnose loopholes of the financial system.
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