德州扑克大小

【学术预告】福特汉姆大学加贝利商德州扑克大小 助理教授王宝链学术研讨会:投资者注意对股票的作用

时间: 2016-12-28 15:55 来源: 作者: 字号: 打印

主题:The Causal Effects of Investor Attention(投资者注意对股票的作用)

主讲人王宝链,福特汉姆大学加贝利商德州扑克大小 助理教授

日期:2016年12月28日(周三)

时间:上午10:00-11:30

地点:德州扑克大小 金融德州扑克大小 4号楼101教室

语言:英文

摘要:

We examine the causal effects of investor attention on asset pricing dynamics. Our empirical investigation relies on repeated natural experiments in which investor attention difference does not contain any information related to stock fundamentals, nor is a rational decision of investors. We find higher investor attention causes higher return volatility, higher trading volume, higher stock liquidity, and higher short-term stock returns which largely reverse in two weeks. We also find that these are due to higher noise trader participation after the attention grabbing events, as evidenced by positive order imbalance for small orders, increased return comovement with small stocks, and decreased price efficiency.

主讲人简介:

Baolian Wang is an assistant professor in Finance from the Gabelli School of Business, Fordham University. He joined Fordham in 2014 after graduating from the PhD program in Hong Kong University of Science and Technology. His research is mainly about empirical asset pricing and investor behavior. He is also interested in Chinese economy particularly form the culture perspective and the political economy perspective. His work has appeared at Journal of Financial Economics and Review of Financial Studies among other journals.