Harold Zhang (UT Dallas)

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Harold Zhang


A seminar by Harold Zhang from the University of Texas at Dallas

Title: Operating Hedge and Gross Profitability Premium

Abstract: In this paper we explore the hedging effect induced by intermediate inputs in production, and its impact on fundamental risk of firm cash flows and stock returns. The hedging effect varies across firms and is weaker for more profitable firms. This leads to more profitable firms having a higher exposure to aggregate profitability shocks, giving rise to a gross profitability premium. Our model captures coexistence of the negatively correlated gross profitability and value factors, addressing an empirical pattern that poses a challenge to the models relying on operating leverage as the primary source of the value premium.

Start date:

11am Friday, 18 Oct 2019

End date:

12.30pm Friday, 18 Oct 2019




Harold Zhang

Updated:   11 October 2019 / Responsible Officer:  CBE Communications and Outreach / Page Contact:  College Web Team