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        漢青論壇第317期:12月22日陳昭晶 PhD Candidate
        (漢青經濟與金融高級研究院發布于:2020-12-25 09:50:25)

        漢青論壇第317期:12月22日陳昭晶 PhD Candidate

        本期主題: Time-varying Overextrapolation, Momentum, and Value Premium

        摘要:

        In models of the cross-section of stock returns where some investors over-extrapolatereturns (e.g., Barberis and Shleifer 2003), price momentum and the value premiumboth arise naturally. The key insight from these models is that, to the extent thatmomentum and value are related to the degree of over-extrapolation, the strength andtiming of these patterns will be conditional on how severe over-extrapolation is, withlower (higher) degree of over-extrapolation leading to stronger momentum (value premium). Using the time-series variation in the degree of over-extrapolation documented in Cassella and Gulen (2018), I directly test the hypothesis that both value and momentum stem from over-extrapolation in financial markets. I find that the averagemomentum return is 1.00% (0.10%) per month when the degree of over-extrapolationis low (high), whereas the average value premium is 0.51% (1.29%) per month followinglow (high) levels of over-extrapolation. Furthermore, the degree of over-extrapolationhas different impact on the long and short legs of the portfolios based on differentaggregate market conditions. Overall, my results support the extrapolation-based theories of asset prices, and offer direct evidence about the linkage between some of themost studied asset pricing anomalies and over-extrapolation.


        報告人:陳昭晶, 普渡大學格蘭納特管理學院

        時間:12月22日(周二) 11:00

        地點:明德主樓515教室

        誠邀各位老師參加。如果您有興趣,請于12月21日前回復郵件liu.zhe AT ruc.edu.cn或電話聯系,我們將為您預留座位。聯系人:劉喆  62510919。


        報告人簡介:

        陳昭晶現于普渡大學格蘭納特管理學院在讀金融學博士。陳昭晶于2013年獲得中國人民大學金融學與數學的本科雙學位,2016年獲得中國人民大學漢青經濟與金融高級研究院的金融學碩士學位,2020年獲得普渡大學的經濟學碩士學位,預計于2021年獲得普渡大學金融學博士學位。陳昭晶的研究領域主要包括實證資產定價與行為金融學,重點關注投資者推定預期與股票市場異象。她合作的論文“Extrapolators at the gate: market-midemis valuation and the value premium”目前在Journal of Financial Economics R&R。


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