德州扑克大小

康奈尔大学金融学教授Gideon Saar学术研讨会:新闻、影响和金融市场价格演进

时间: 2015-04-17 10:03 来源: 作者: 字号: 打印

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.