FIRN Virtual Seminar Series - Dashan Huang, Singapore Management University

FIRN is the premier network of finance researchers and PhD students across Australia and recently New Zealand.  Researchers from all of the major schools, departments and universities who offer research programs across the various topic areas of finance are members of FIRN.The purpose of FIRN is to provide a strong, cohesive and fiscially efficient approach toward supporting research and advancements in the Australian finance academic community.  FIRN’s program of events and initiatives aims to develop better communication and networking across the sector, better research outcomes, better educated PhD students, better skilled academics, stronger international relationships and a stronger future.

FIRN

Working with the large FIRN member institutions we have developed a virtual seminar series where all FIRN members can participate.  The seminars will be via zoom and will be about an hour long, comprising presentation followed by moderated Q&A.   <h2>In collaboration with the University of Melbourne, FIRN  invites you to a virtual seminar presented by Dashan Huang, Singapore Management University (SMU)</h2>Title:  Another Presidential Puzzle? Presidential Economic Approval Rating and the Cross-Section of Stock ReturnsAbstract: We construct a monthly Presidential Economic Approval Rating (PEAR) index from 1981 to 2019, by averaging ratings on president’s handling of the economy across various national polls. In the cross-section, stocks with high betas to changes in the PEAR index significantly under-perform those with low betas by 0.96% per month in the future, on a risk adjusted basis. The low-PEAR-beta premium persists up to one year, and is present in various sub-samples (based on industries, presidential cycles, transitions, and tenures) and even in other G7 countries. It is also robust to different risk adjustment models and controls for other related return predictors. Since the PEAR index is negatively correlated with measures of aggregate risk aversion, a simple risk model would predict the low PEAR-beta stocks to earn lower (not higher) expected returns. Instead, the PEAR beta captures a firm’s perceived alignment to the current president’s economic policy and market misprices such alignments.
Moderated by Zhuo Zhong, University of MelbourneAll FIRN members are welcome to this event. Please register your interest and you will be sent an email the day before the seminar with the zoom meeting details.

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FIRN Virtual Seminar Series - Dashan Huang, Singapore Management University

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FIRN Virtual Seminar Series - Dashan Huang, Singapore Management University

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