Does express delivery run ahead of stock price?

15:30-17:00, Friday, May 7, 2021

I-206, Boxue Building, DUFE

or Tencent Meeting (Meeting ID: 601 836 462)

Dr. Bohui ZHANG is  a presidential chair professor of finance at The Chinese University of Hong Kong, Shenzhen, the executive associate dean of the School of Management and Economics, the associate director of Shenzhen Finance Institute, and the director of the Center for FinTech and Social Finance and the Co-director of MSc in Data Science Programme (SFI).  Professor Zhang was granted the Ph.D. in finance from Nanyang Technological University in 2008. He has conducted research in various fields, including role of information intermediaries on capital markets, Chinese and foreign capital markets, Fintech, and sustainable finance. He has published more than 40 papers, many of which are in top-tier finance, accounting, and business journals such as the Review of Financial Studies, Journal of Financial Economics, Journal of Accounting Research, and Management Science.

We study the role of logistics information in the price discovery process. Using a proprietary data set on firm-level logistics service records covering 2,035 firms during 2011 to 2019 from the largest express delivery service provider in China, we find that parcel delivery contains firm-specific information for stock pricing. A long-short portfolio by buying (selling) stocks with the high (low) quarterly growth in the number of parcels sent by firms generates a 9.72% risk-adjusted return annually. The return predictability of parcel growth holds after controlling for firm characteristics and stays persistent in up to three quarters without any reversal. This predictability is more significantly driven by firms' delivery of document-related (light) parcels than goods-related (heavy) parcels. Moreover, parcel growth positively predicts firm growth, profitability, and earnings surprises. We last show that institutional investors and insiders may obtain the similar value-relevant information contained in parcel growth, and adjust their positions before such information is fully revealed to the public.

For more information of the seminar, scan the following QR code(s) to join Tencent QQ group (904 544 292) or WeChat group named "IAER Seminar (2)", please.

QQ Group

WeChat Group (QR code is valid until 5/7/2021)