講座題目：How do individual investors’ talks online move the market? Evidence on sentiment-induced correlated trading of different traders

講座時間：2022年10月27日（星期四）下午15:00-16:30

講座方式：騰訊會議ID：174-149-015

密碼：221027

講座鏈接：https://meeting.tencent.com/dm/Gv4pHWNjmOhr

主講人：部慧，博士，北京航空航天大學(xué)經(jīng)濟管理學(xué)院金融系，副教授，博士生導(dǎo)師。2004年7月于中國科學(xué)技術(shù)大學(xué)獲得經(jīng)濟學(xué)學(xué)士學(xué)位，2009年7月于中國科學(xué)院研究生院管理學(xué)院獲得管理科學(xué)與工程博士學(xué)位。研究領(lǐng)域涉及實證資產(chǎn)定價、金融市場、風險管理、金融科技和監(jiān)管科技等。已主持了國家自然科學(xué)基金項目4項，主持或參與多項省部級和橫向課題。已發(fā)表學(xué)術(shù)論文近40篇，包括《International Journal of Forecasting》、《Economic Modelling》、《管理科學(xué)學(xué)報》、《系統(tǒng)工程理論與實踐》、《中國管理科學(xué)》、《管理評論》等；已出版1本教材和2本專著。曾作為主要成員參與撰寫了多篇政策研究報告上報中央兩辦和部委等，多份報告獲得領(lǐng)導(dǎo)批示或被中辦采納，支撐了相關(guān)金融監(jiān)管政策的推出。主持研發(fā)了4套金融監(jiān)管系統(tǒng)；并曾參與業(yè)界風險管理系統(tǒng)的研發(fā)。已獲授權(quán)技術(shù)發(fā)明專利4項，并有多項專利在審。曾參與研發(fā)和創(chuàng)新多個金融產(chǎn)品，包括大宗商品指數(shù)及其指數(shù)類衍生品和投資基金等。曾獲得北京航空航天大學(xué)優(yōu)秀教學(xué)成果獎一等獎1項，國際會議優(yōu)秀論文獎5項，教學(xué)案例獲獎1項。兼任中國系統(tǒng)工程學(xué)會金融系統(tǒng)工程專業(yè)委員會的理事、中國工業(yè)與應(yīng)用數(shù)學(xué)學(xué)會金融數(shù)學(xué)、金融工程與精算專業(yè)委員會的青年專業(yè)委員會的金融工程方向的委員；兼任國內(nèi)外20余本期刊的審稿人。

講座簡介：How institutional investors respond to individual investor sentiment and whether investor sentiment is priced are important research questions in asset pricing and behavior finance. This study explores the trading responses of different traders to firm-level investor sentiment and the effects of investor sentiment on cross-sectional stock returns from the perspective of return comovement and correlated trading. We extract the investors’ expectations about future returns directly from the online messages posted on the internet stock message boards of Eastmoney.com in China and construct the firm-level monthly investor sentiment indicators for the CSI300 Index constituent stocks from June 2009 to September 2016. We find that this investor sentiment indicator is a good proxy for noise trader risk and it has predictive power for stock returns. We propose a proxy for noise trader risk. We uncover several important empirical findings about the effects of investor sentiment. First, we confirm the existence of sentiment-induced return comovement. Second, we reveal that sentiment-induced correlated trading exists not only for small trades but also for large trades by using tick-by-tick quotation and transaction data. Third, we also find evidence of different trading responses of mutual funds to individual investors’ sentiments. Our study proposes that the differences in institutional investors’ trading responses may be related to their different views on whether investor sentiment has informative content and the condition of noise trader risk.