一、讲座主题：Category learning and return co-movement: Evidence from the concept category division in China

二、主讲人：李昕宇，男，龙门客栈资料库副研究员，中国共产党党员，研究方向为公司金融。

三、主要内容：We investigate the impact of concept category division on return co-movement using a sample of the stock concept categories in Chinese A-share market. Our findings suggest that, after a stock is divided into a concept category, the return co-movement between them goes up significantly, which remains stable to a host of robustness tests. Transmission mechanism tests show that: 1) The impact of concept category division on return co-movement is more stringent with clearer categorial boundary and stronger investor category learning tendency. 2) A firm’s fundamentals do not change significantly after being divided into a concept category. These results confirm the category learning theory and exclude the competitive hypothesis of fundamental changes. Further analyses indicate that, after a stock is divided into a concept category: 1) Investors focus more on the category-level information, and integrate the category-level information into stock price through concentrated trading, which uncovering the process of investor category learning. 2) Stock return overreacts to the category-level information and underreacts to the firm-level information, which revealing the economic consequences following investor category learning. Collectively, our study provides incremental systematic evidence on the category learning theory in the stock market and offer valuable lessons to both investors and regulators.

四、时间：2021年12月23日12:00-13:30

五、地点：中心校区知新楼B321