金融与财务学系列讲座之335期

Time：10:30-12:00, Tuesday, May 12, 2026

Location: Room 603, Starr Building（史带楼603室）

Host：Prof. Xintong Zhan （战昕彤 教授）

Department of Finance, FDSM

Topic: Narrative Ambiguity Matters

Speaker: Prof. Qunzi Zhang（张群姿 教授） Shandong University

Abstract: By extracting information from economic news articles, this paper proposes a novel measure of narrative-based ambiguity, which captures investors’ attitudes toward narrative uncertainty and exhibits strong in- and out-of-sample predictive power for the stock market returns. It reveals general ambiguity aversion, except in high-loss-probability scenarios where ambiguity tolerance emerges. Further tests confirm the significant pricing power and distinct information of the narrative ambiguity on top of existing ambiguity measures, such as survey- and return-based ambiguity. By aligning industry-specific narrative ambiguity, we construct a superior predictor for market returns, with the predictability predominantly driven by the ambiguity from consumption- and energy-related sectors. Our findings also carry broad implications, as the predictability remains significant across international markets and other asset classes.

Bio: 张群姿，山东大学经济学院教授博导，国家自科优青项目主持人，国家级、省级一流本科课程负责人，教育部全国高校“双带头人”党支部书记工作室负责人及“强国行”专项行动负责人，省金融高端人才，山东大学杰出中青年学者、齐鲁青年学者。瑞士洛桑大学和瑞士金融学院金融学博士，博士论文曾获瑞士沃州优秀论文奖。论文发表于Journal of Financial Economics, Journal of Financial and Quantitative Analysis，Management Science, Journal of Money, Credit and Banking，Journal of Financial Markets，Journal of Futures Markets，管理科学学报，金融研究，会计研究等国内外一流期刊，入选教育部“101”核心课程教材编委会，参与编写普通高等教育本科国家级规划教材。分别担任金融学季刊、数量经济研究和Journal of Futures Markets, International Journal of Finance and Economics副主编、 Energy Nexus、Finance Research Open和The Innovation期刊编委。