10月11日财务金融系系列讲座之七十四

时间：2011年10月11日（周二）14：00　　　　　　　　　　　　　

地点：史带楼502室

主持人：田澍 博士　复旦大学管理学院财务金融系　

主题：Fundamental analysis Versus Technical analysis In the Presence of Risk-averse Liquidity Providers

主讲人：Dr. Ming Guo

Assistant Professor of Finance, Shanghai Advanced Institute of Finance (SAIF), Shanghai Jiaotong University

摘要:

This paper develops a model with risk-averse liquidity providers to exploit the effects of price impact on investors' trading and return dynamics, which helps explain financial anomalies. In the model, the price is semi-strong efficient and deviates from the expected fundamental value due to inventory effect. When the price impact due to inventory effect is strong, the informed investor trades less on the fundamental information and more on the technical information related to investors' positions. The underestimation of the liquidity traders' position leads to price continuation in the short term; because the price tends to move back to the fundamental value, the price reverses in the long run. After a dividend announcement, when liquidity traders adopt contrarian trade, the underestimation of their position by liquidity providers also explains PEAD. We show the informed investor behaves rationally as a trend-chaser in the short run and a contrarian in the long run because of his trading regarding technical information, whereas the liquidity providers trade rationally as contrarians in the short term and trend-chasers in the long term. The model derives testable forms regarding price dynamics, expected return, and price impact. It also demonstrates inventory effect can be persistent in the short run.

财务金融系

2011年9月28日