主题：News, Influence, and the
Evolution of Prices in Financial Markets（新闻、影响和金融市场价格演进）
主讲人：Gideon Saar，康奈尔大学金融学教授
日期：2015年4月17日（周五）
时间：下午2:00-3:30
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：
Opinions by
experts and media pundits that are widely disseminated in various media forms (both
traditional outlets and online venues) constitute a major source of influence
on investors. While a published view could be more accurate than the view of a
typical investor, its influence displaces many independent views and hence has
the potential to introduce a shared error. Our objective is to study the influence
of published views on the evolution of prices by constructing a theoretical
model and using empirical work to test and calibrate the model. Our
probabilistic trading model demonstrates how the influence of published views
creates patterns in prices and volume. Still, a “wisdom of the crowds” effect
emerges endogenously in our framework and helps expunge such shared errors from
the price. We use the timing of earnings announcements to test our model, and find
evidence consistent with the theoretical predictions. The magnitude of the
empirical effects is then used to calibrate the model, and our calibration
exercise suggests that while the published opinion has only a modest degree of
influence, its exact accuracy matters somewhat less than the extent of its influence.
主讲人简介:
Gideon Saar is Professor of Finance
at Samuel
Curtis Johnson Graduate School of Management, Cornell University.
Professor Saar received a B.B.A. in Finance from CUNY in 1994, and a M.A. and a
Ph.D. in Finance from Cornell University. Prior to joining the Samuel Curtis Johnson faculty, he was an
Assistant Professor of Finance at the Stern School of Business, New
York University (2000-2005). His papers have appeared in Journal
of Finance, Review of Financial Studies, and Journal of
Financial Markets and other leading finance journals.
