应用金融Seminar海外学者系列讲座2024-2：Randall Morck

报告题目：Indexing and the Incorporation of Exogenous InformationShocks to Stock Prices

报 告 人：Randall Morck（University of Alberta）

报告时间：2024年3月27日（周三）9:00-10:30 

报告地点：ZOOM平台在线交流（会议ID：950 1081 9321）

ZOOM App下载链接：https://zoom.us/download, 亦可点击以下链接直接参加会议：https://ucincinnati.zoom.us/j/95010819321

主办单位：金融科技学院

【报告人简介】

Randall Morck is the most cited economist in Canada, his research referenced more than 51,000 times in other researchers’ work. From a blue-collar Alberta family, he received a scholarship to attend Yale University where he graduated summa cum laude with BSc in Honors Applied Mathematics and an M.A. in Economics. After earning a PhD in Economics from Harvard, in 1986 he joined the University of Alberta, which appointed him Stephen Jarislowsky Distinguished Professor of Finance. He returns to both his almae matres, most recently as Mackenzie King Visiting Professor at Harvard and as Schoen Visiting Professor at Yale. Prof. Morck is a Research Associate at the National Bureau of Economic Research in Cambridge Massachusetts and Senior Fellow at the Asian Bureau of Finance and Economics Research in Singapore. In August 2023, the University of Montreal and HEC Montreal awarded him an honorary doctorate for contributions to corporate governance and other areas of finance research. He has advised governments, central banks, and multilateral institutions on these issues.  

【内容摘要】

Savings increasingly flow to low-cost index funds, which simply buy and hold the stocks in a major index, such as the S&P500. If this diverts capital away from moving prices towards fundamentals, increased 

indexing may render stock markets decreasingly efficient. Using firms sensitive to currency shocks, we find that exogenous idiosyncratic currency shocks of similar magnitude move firms' stocks significantly less when those firms are in the S&P500 index than when they are not. Increased indexing may thus be undermining the efficient markets hypothesis that supports its viability, and much else in the real economy.

撰稿：赵鹏辉  审核：史永东  单位：金融科技学院