講座題目：The Cross-section of Subjective Expectations: Understanding Prices and Anomalies

時(shí)間：2023年10月16日13:30-15:00

地點(diǎn)：博學(xué)樓925

主講人：韓笑

主講人簡(jiǎn)介：韓笑是倫敦大學(xué)貝葉斯商學(xué)院的金融學(xué)助理教授。他在愛(ài)丁堡大學(xué)獲得金融博士學(xué)位。他的研究涵蓋了結(jié)構(gòu)性和實(shí)證資產(chǎn)定價(jià)的主題，特別關(guān)注機(jī)器學(xué)習(xí)、文本分析、機(jī)構(gòu)投資者和主觀期望。他的研究發(fā)表在《金融研究評(píng)論》和《歐洲金融管理》上。他的研究已在光華、哈佛和沃頓等學(xué)校以及NBER、AFA和EFA等會(huì)議上展示。

講座內(nèi)容簡(jiǎn)介：

我們提出了一個(gè)關(guān)于未來(lái)收益增長(zhǎng)的恒定收益學(xué)習(xí)的結(jié)構(gòu)模型，其中包括對(duì)現(xiàn)金流時(shí)機(jī)的偏好。正如模型所暗示的，使用調(diào)查預(yù)測(cè)的橫截面分解表明，高市盈率是由低預(yù)期回報(bào)和過(guò)高的預(yù)期收益增長(zhǎng)造成的。該模型在數(shù)量上匹配了一些資產(chǎn)定價(jià)時(shí)刻，如增長(zhǎng)的了解與對(duì)現(xiàn)金流時(shí)機(jī)的偏好有很強(qiáng)的相互作用，并提供對(duì)股票橫截面中風(fēng)險(xiǎn)溢價(jià)和錯(cuò)誤定價(jià)的作用的見(jiàn)解。價(jià)格、收益增長(zhǎng)之間波動(dòng)的幅度和時(shí)機(jī)和異常的收益都與漸進(jìn)的學(xué)習(xí)過(guò)程一致，而不是像期望對(duì)最近的現(xiàn)象高度敏感。大額收益增長(zhǎng)的意外不會(huì)立即轉(zhuǎn)化為大的單期回報(bào)，而是隨著時(shí)間的推移，逐漸反映在未來(lái)的回報(bào)中。

We propose a structural model of constant gain learning about future earnings growth that incorporates preferences for the timing of cash flows. As implied by the model, a cross-sectional decomposition using survey forecasts shows that high price-earnings ratios are accounted for by both low expected returns and overly high expected earnings growth. The model quantitatively matches a number of asset pricing moments, as learning about growth interacts strongly with the preference for the timing of cash flows, and provides insights on the roles of risk premia and mispricing in the cross-section of stocks. The magnitudes and timing of the comovement between prices, earnings growth surprises, and anomaly returns are all consistent with a gradual learning process rather than expectations being highly sensitive to the most recent realization. Large earnings growth surprises do not immediately translate into large one-period returns, but instead are gradually reflected in future returns over time.