| 主讲人简介： | 余剑峰，清华大学五道口金融学院建树金融学讲席教授、清华大学金融科技研究院副院长、清华大学国家金融研究院资产管理研究中心主任，加入五道口之前他是明尼苏达大学卡尔森管理学院Piper Jaffray讲席教授。他的工作关注于行为金融和宏观金融的理论和实证研究。他的研究成果已经发表在国内外知名学术刊物上，例如American Economic Review, Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Journal of Monetary Economics, 《管理科学学报》等，并担任Journal of Financial Economics, Journal of Empirical Finance等学术期刊副主编。余教授获得中国科技大学概率统计学学士，耶鲁大学统计学硕士和宾夕法尼亚大学沃顿商学院的金融学博士。他的研究成果曾获得多项奖项，其中包括Smith-Breeden(JF年度优秀论文)一等奖。 |
| 讲座简介： | This paper proposes a simple dynamic asset pricing model featuring extrapolative market participation by retail investors, that is, increased market participation following high returns in the stock market and high new participation growth (NPG). The model implies that extrapolative market participation induces asset bubbles and large trading volume and produces momentum and value effects simultaneously. More important, the model also implies that NPG positively predicts momentum strategy returns and negatively predicts value strategy returns. Using a composite measure for NPG, we find empirical support for these predictions. The momentum effect is 1.87% per month following high NPG and only 0.55% following low NPG, whereas the value effect is -0.08% per month following high NPG and 0.68% following low NPG. A similar, albeit weaker, pattern also holds for the time-series momentum and value effect. |
