On the afternoon of May 7th, the 293rd session of the Economics Forum, hosted by the School of Economics, was successfully convened at the Jianhu Lecture Hall. The forum featured Associate Professor Fu Chengbo from the University of Northern British Columbia (UNBC), Canada, as the keynote speaker, attracting the participation of over 60 faculty members and students.
Professor Fu delivered a systematic presentation titled "Short-selling Profitability, Stock Lending Fees, and Asset Pricing Anomalies," sharing his research team's latest findings in the field of short-selling markets. Based on US market data from the CRSP and Compustat databases spanning 2005 to 2021, supplemented with FIS professional financial data, the study employed advanced econometric approaches to construct a theoretical framework for "Short-selling Profitability (SSP)." Professor Fu then conducted an in-depth analysis of three key hypotheses derived from this framework.
Examining the relationship between stock short-selling activities and relevant variables, regression analysis revealed stable estimates for lending fees and SSP across different time windows. Professor Fu elaborated on several hypotheses, including the correlation between sales and stock returns, the sensitivity of SSP, and the relationship between SSP and shorting costs as well as stock characteristics. The presentation also featured a detailed analysis of short-selling profit allocation, highlighting the differences between strategies targeting high-SSP versus low-SSP stocks.
The Q&A session fostered a lively atmosphere, with attendees engaging Professor Fu in active discussions on the characteristics of short-selling markets and data acquisition methodologies for research. This forum provided novel theoretical perspectives on short-selling market research and offered fresh research directions for related fields. The School of Economics remains committed to inviting distinguished scholars from both China and abroad to establish high-caliber academic exchange platforms for its faculty and students.
