講座題目：Survey Forecasts, Sentiment and Stock Market Volatility （調(diào)查預(yù)測(cè)，情緒和股市波動(dòng)）

時(shí)間：2021年5月25日（周二）14:00 – 15:10 博學(xué)918

主講人: 張仁斌  山東大學(xué)經(jīng)濟(jì)學(xué)院金融系助理教授

主講人簡(jiǎn)介：

張仁斌教授于2014年畢業(yè)于山東大學(xué)經(jīng)濟(jì)學(xué)院，獲金融學(xué)學(xué)士學(xué)位；2020年畢業(yè)于巴塞羅那自治大學(xué)，獲經(jīng)濟(jì)學(xué)博士士學(xué)位。其研究方向主要包括：宏觀經(jīng)濟(jì)學(xué)、宏觀金融學(xué)和信息經(jīng)濟(jì)學(xué)，論文曾發(fā)表于宏觀經(jīng)濟(jì)學(xué)頂級(jí)期刊Journal of Monetary Economics。

講座內(nèi)容簡(jiǎn)介：

This paper documents new evidence that survey forecasts of stock prices are not anchored by forecasts of economic fundamentals in US stock markets. This evidence is at odds with a wide range of asset pricing models with various information assumptions. The paper develops and estimates a stock pricing model with adaptive learning and sentiment shocks, which replicates this evidence, together with a set of equity pricing facts. The model suggests that about two-thirds of the fluctuations of stock price dividend ratios are driven by shifting investors’ expectations as a consequence of the dynamic interaction between the sentiment shocks and investors’ learning behavior.