講座題目：Prospect Theory in the Field: Revealed Preferences from Mutual Fund Flows

講座時(shí)間：2023年12月7日（星期四）9：30-10：30

講座地點(diǎn)：博學(xué)910

主講人：韓冰，加拿大多倫多大學(xué)羅特曼管理學(xué)院金融學(xué)教授

主講人簡介：

韓冰, 加拿大多倫多大學(xué)羅特曼管理學(xué)院金融學(xué)教授，多倫多證券交易所資本市場講座教授, Visiting Chair Professor at Hong Kong Polytechnic University. 韓冰教授的主要研究領(lǐng)域是資產(chǎn)定價(jià)，投資，行為金融學(xué)，房地產(chǎn)金融。他的多篇論文發(fā)表在頂級(jí)經(jīng)濟(jì)，金融和管理學(xué)學(xué)術(shù)雜志上，包括Journal of Finance, Journal of Financial Economics，Review of Financial Studies， Review of Economic Studies，International Economic Review, Journal of Economic Theory，Management Science等。他的研究成果受到《紐約時(shí)報(bào)》《華爾街日?qǐng)?bào)》《華盛頓郵報(bào)》《經(jīng)濟(jì)學(xué)人》等媒體的專訪和報(bào)道。韓冰教授獲得了眾多國際知名學(xué)術(shù)獎(jiǎng)項(xiàng)，包括歐洲金融協(xié)會(huì)最佳論文獎(jiǎng)，中國金融協(xié)會(huì)會(huì)議最佳論文獎(jiǎng)，美國個(gè)人投資者協(xié)會(huì)在資產(chǎn)定價(jià)研究中獲優(yōu)秀論文獎(jiǎng)，上海風(fēng)險(xiǎn)論壇最佳論文獎(jiǎng), 中國國際金融與政策論壇杰出論文獎(jiǎng), 全球金融專業(yè)人士協(xié)會(huì)終身成就獎(jiǎng)。韓冰教授現(xiàn)任Review of Finance, Journal of Economic Dynamics and Control，Journal of Empirical Finance，International Review of Finance和Pacific-Basin Finance Journal副主編

講座摘要：

Using mutual fund flows, we evaluate prospect theory with choice outcomes in the market. We provide strong support for prospect theory: under a standard set of parameters, funds whose past returns generate higher prospect theory value attract significantly larger future flows; we also find corroborative evidence using account-level data. Taking a revealed preference approach, we estimate the prospect theory parameters through a discrete choice model and find that our field-based estimates align well with previous experiment-based estimates. Moreover, we show that prospect theory offers a new framework for understanding flows, as it has explanatory power over and above existing drivers.