主题：Do
Demand Curves for Stocks Slope Down in the Long Run? （从长远来看股票的需求曲线是否下降？）
主讲人：刘悦，德州扑克大小-德州扑克攻略
助理教授
日期：2016年4月27日（周三）
时间：下午
1:30-2:30
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：
The
Split-Share Structure Reform in China mandated the conversion of nontradable
local A-shares into tradable status and increased A-share float. This paper
examines the long-term pricing effects of the increased float. Given that
foreign B-shares were not directly affected by this reform, we use B-share
price to control for possible changes in firm fundamentals. We find that,
across firms, larger increase in float leads to larger decrease in A-share
price relative to B-share price, even up to around ten years after the reform,
suggesting that demand curves slope down in the long run. Consistent with the
theory based on heterogeneous beliefs, we find that a larger increase in float
leads to lower turnover and lower volatility, and that demand curves are more
downward-sloped when divergence of opinion is larger. We also find evidence
that arbitrage risk prevents arbitrageurs from flattening the demand
curves.
主讲人简介：
Clark (Yue) Liu is currently an
assistant professor at PBC School of Finance, Tsinghua University. He received
his PhD degree in finance from Hong Kong University of Science and Technology
in 2013 and held his BA in economics and finance from the University of Hong
Kong. Clark’s research focuses on theoretical and empirical asset pricing,
including international financial markets, investor trading behavior and
financial market frictions. He has published in Economics Letters. His research on dual-listed shares has been
awarded the Hong Kong Asian Capital Markets Research Prize (2012) by the
Chartered Financial Analyst Institute.
