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广外金融论坛第110讲

作者:佚名 发布时间:2023-10-08 浏览次数:

题目:Psychological Barrier and the Risk-return Trade-off

时间:2023年10月11日(周三)15:30

地点:院系办公楼401会议室

主讲人:陈梓麟 副教授(西南财经大学)

主持人:张浩 教授

 

报告摘要

 Traditional asset pricing theory posits a positive risk-return relation while empirical studies find a negative relation between risk and expected returns. In this paper, we find that the risk-return relation is negative among stocks with prices far from their 52-week high prices while positive among stocks with prices near their 52-week high prices. We argue that anchoring on the psychological barrier of 52-week extreme prices leads to such cross-sectional heterogeneity in the risk-return trade-off.We also consider several explanations but none of them are empirically supported. Overall, our results provide a new psychological perspective to understand the risk-return trade-off.

 

报告人简介

陈梓麟  副教授

陈梓麟,西南财经大学yh86银河国际副教授,主要研究领域为实证资产定价、行为金融和机器学习。论文发表或接收于《Journal of Financial Economics》,《Journal of Banking and Finance》,《Journal of Economic Dynamics and Control》等国际期刊。

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