主题：Lottery-Related
Anomalies: The Role of Reference-Dependent Preferences（彩票特性相关的市场异象：参考点依赖性偏好在其中的作用）
主讲人：安砾，德州扑克大小-德州扑克攻略
助理教授
日期：2015年4月17日（周五）
时间：中午
12:30-13:30
地点：德州扑克大小
金融德州扑克大小
1号楼501教师休息室
语言：英文
摘要：
This paper studies the role of reference-dependent
preferences in explaining several anomalies related to lottery-like assets.
Recent studies find that lottery-like assets significantly underperform
non-lottery-like assets. Previous explanations usually rely on investors'
unconditional preference for lottery-like assets, probably due to their overweighting
of small probability events. We show that lottery-related anomalies are significant
only among stocks where investors have lost money. Among stocks where investors
have profited, evidence for lottery-related anomalies is either very weak or even
reversed. Our findings provide support for the reference-dependent preference under
which investors are averse to losses and will prefer lottery-like assets
following prior losses as such assets provide a chance to recover losses. Our findings
are robust to five different measures of the lottery feature of stocks and
provide a unified framework to understand lottery-related anomalies that are
associated with these measures.
主讲人简介：
Li An is currently an assistant professor at PBC
School of Finance, Tsinghua University. Li received her Ph.D. in Economics
from Columbia University in 2014, where she worked with Professor Kent Daniel
and Professor Paul Tetlock. Li’s research interests mainly lie in empirical
asset pricing and behavioral finance. One area of her research is to understand
how investor behavior affects equilibrium price dynamics. Other themes include
return anomalies, institutional investors, and pension investments. Li’s
research connects theory and practice and has been recognized by several
academic and professional awards, including Crowell Memorial Prize by PanAgora
Asset Management and Chicago Quantitative Alliance (CQA) Academic Competition.
