题　目：Distorted Beliefs and Asset Prices

嘉　宾：杨昊晰 副教授 南开大学金融学院

主持人：宋忠智 副教授 上海交通大学安泰经济与管理学院

时　间：2024年6月7日（周五）10:00-11:30

地　点：上海交通大学 徐汇校区安泰楼A507室

内容简介:

Economic agents make systematic forecast errors—i.e., have “distorted beliefs”—about macroeconomic and financial outcomes. Accounting for distorted beliefs can shed new light on apparent puzzles that arise when agents are assumed to make decisions using full information and rational expectations. First, investors’ subjective expectations may be systematically biased. Second, subjective bias manifests itself as discount-rate risk in the data but represents cash-flow risk from investors’ perspective. In this paper we consider distorted beliefs in the stock market. We propose an analytical framework that allows us to measure the distortion in investor beliefs and its effect on risk premia, both in time series and in the cross-section. Using this framework, our first contribution is to disentangle the long-run return predictability arising in the data as a result of distorted beliefs from the predictability due to other factors. Our main contribution is to show that distorted beliefs misprice cash-flow and discount rate risks in the cross-section of stock returns.

演讲人简介：

杨昊晰，南开大学金融学院副教授。2015年毕业于Bocconi University, 金融学博士学位。主要研究领域：资产定价，宏观金融，金融计量，国际金融。现已完成并发表学术论文数十篇，论文发表在Jounral of Banking and Finance, Journal of Businiess and Economic Statistics, IMF Economic Review, Review of International Economics, The World Econmy,《经济研究》，《财贸经济》以及《南开金融研究》等国内外学术期刊。其研究成果荣获高等学校科学研究优秀成果奖（人文社会科学）论文类三等奖，天津市社会成果奖论文类二等奖等。主持国家自然科学基金项目一项。

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