金融与财务学系列讲座之309期
时 间：2024年9月24日14:00-15:30
地 点：史带楼601
主 题： Reference-dependent Preferences and Sentiment-driven Asset
主讲人：王鹏飞 Distinguished Professor, Peking University HSBC Business School
主持人：耿哲 复旦大学管理学院青年副研究员
摘 要：
This paper studies asset pricing under expectations-based reference-dependent preferences in a general equilibrium framework. Our model shows that reference-dependent preferences can generate sentiment-driven asset prices that are impossible in a standard expected-utility based model of asset pricing. The model helps to explain empirical puzzles in asset pricing such as i) excess volatility, ii) asymmetric volatility, iii) asymmetric sentiment over the business cycle, and iv) excess asset price comovement. We provide new empirical evidence and quantitative analysis in support of our theory.
简 介：
Pengfei Wang is Peking University Boya Distinguished Professor and serves as the Dean of Peking University HSBC Business School. He received his Ph.D. in Economics from Cornell University in 2007. His research interests include Macroeconomics, Financial Economics, and Monetary Economics. His research has been published in world leading journals such as American Economic Review, Econometrica, Journal of Finance, and numerous other renowned journals.
金融与财务学系
2024-9-20
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