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【2016-12-21 学术论坛】 Investor Attention and Commonalities Across Asset Pricing Anomalies

作者: | 发布日期:2016-12-14| 浏览次数:

讲座人: 刘津宇

 

讲座主题:Investor Attention and Commonalities Across Asset Pricing Anomalies

 

摘要:We comprehensively exam the effects of investor’s attention of individual stocks on daily financial market anomalies. The weekday effect of anomalies coincides with the seasonality of investor attention. Using the double-sort methodology, we find that most of anomalies are stronger for stocks attracting relatively higher investor attention. After purifying other impacts with the stocks reaching price limits as exogenous shocks, our conclusion still holds. Investor attention may help to explain financial market anomalies beyond investor sentiment, because noise traders invest in stocks that catch excessive attention and make arbitrage hard and mispricing persistent.

 

讲座时间:2016年12月21日,周三,13:30开始

 

讲座地点:学院南路主教10楼1011

 

讲座人简介:刘津宇,清华大学博士研究生。研究兴趣包括市政资产定价、股票市场异象、公司IPO、投融资行为与资本结构等领域。已在《世界经济》、《南开管理评论》等期刊发表多篇学术论文,并有数篇论文入选多个重要的金融学国际会议,包括Summer Institute of Finance (SIF)、Financial Management Association Annual Meeting (FMA)、China International Conference in Finance (CICF)、Volatility Institute Conference (VINS)、Shanghai Risk ForumRonald Coase Workshop等。其研究成果曾获得中国金融国际年会(CICF)的夏一红最佳论文奖(Yihong Xia Best Paper)以及2014年全国数量经济学博士论坛最佳论文奖。