会计系学术讲座系列2021年第13讲

主 题：Third-Party Cookies, Data Sharing and Return Comovement

主讲人: 张晓君 （北京大学助理教授）

协调人: 钟覃琳、汝毅

时 间：2021-06-09 10:00

地 点：明德商学楼1008会议室

语 言：中文

讲座摘要:

A third-party cookie connects different firms and allows them to share information with each other, thereby facilitating retargeting activities. Relying on this setting, we examine the capital market consequences of data sharing via cookies. Our findings are consistent with the notion that common shocks to investor attention via cookie networks translate into economically significant information acquisition on the SEC EDGAR system and subsequent stock return comovement. Identification tests based on popup notifications of data collection and the enactment of the California Consumer Privacy Act confirm the causal link. Further cross-sectional analyses reveal that the return comovement among data-sharing firms is more pronounced for consumer-related industries and more frequently installed cookies. These findings motivate a novel trading strategy exploiting the information diffusion in cookie networks.

主讲人简介:

张晓君现任北京大学光华管理学院会计学系助理教授。她毕业于新加坡南洋理工大学获得会计学博士学位。她的学术兴趣包括公司治理，监管者监管，和资本市场。她的研究成果已在Contemporary Accounting Research，Management Science 等国际顶级期刊上发表或被录用。