講座題目：A Market Level Tug of War: Asset Pricing on … Days

講座時間：2023.11.21 13:30-15:00

講座方式：博學(xué)樓918

主講人：趙磊

主講人簡介：

趙磊，歐洲高等商學(xué)院（ESCP Business School）副教授，主要研究領(lǐng)域為銀行、資產(chǎn)定價以及公司金融。他的研究成果發(fā)表于Journal of Financial and Quantitative Analysis, Journal of Economic Behavior and Organization 以及Journal of International Money and Finance等國際期刊。他關(guān)于政府隱性擔(dān)保的研究成果入圍了 2015 年歐洲證券交易委員會咨詢科學(xué)委員會頒發(fā)的 leke van den Burg 獎，關(guān)于原油市場存儲成本的研究論文榮獲商品與能源市場協(xié)會年會2023最佳論文獎。

講座內(nèi)容簡介：

A daily tug of war between opposing investor clienteles at the individual stock level has been documented in the asset pricing literature. We measure a market-level tug of war using the cross-sectional intensity of individual tug of war. The Capital Asset Pricing Model (CAPM) tends to perform better and market betas are strongly and positively related to average returns on “quiet days” when the market-level tug of war is less intensive. We further show that the well-established findings that a robust risk-return trade-off exists on important information days (e.g. FOMC announcement days and influential firms earnings announcement days), and during pessimistic sentiment periods hold only when such days coincide with“quiet days”. Overall, we provide a novel explanation for the empirical failure of the CAPM and show that investor disagreement has significant implications on asset pricing.