講座嘉賓：趙磊
時間：2024年12月12日，周四，10:00-11:30
地點：學術會堂603
講座題目：Market-Level Tug of War and Asset Pricing市場層面的拉鋸戰與資産定價
摘要：We propose a simple indicator function based on the aggregate tug-of-war between overnight and intraday traders, and use it to identify two types of trading days: quiet and noisy days. We analyze these days and document that the security market line is upward sloping on quiet days and downward sloping on noisy days. This result is robust to a number of additional tests. Moreover, the result holds on both (i) important macroeconomic and earnings news days and (ii) other days, challenging some proposed explanations in the literature. We present and test a mechanism based on the over-correction hypothesis to rationalize the finding.
主講人：趙磊，歐洲高等商學院（ESCP Business School）副教授，主要研究領域為銀行，資産定價以及公司金融。他的研究成果發表于Journal of Financial and Quantitative Analysis, Journal of Economic Behavior and Organization以及Journal of International Money and Finance等國際期刊。他關于政府隐性擔保的研究成果入圍了2015年歐洲證券交易委員會咨詢科學委頒發的leke van den Burg獎， 關于原油存儲成本的研究論文榮獲商品與能源市場協會2023年會最佳論文獎。
主辦方：韦德体育bevictor中國金融發展研究院
講座地址：韦德体育bevictor（學院南路校區）北京市海澱區學院南路39号
文字：趙磊
審稿：吳仰儒、趙陽
編輯：沈嘉怡
審核：王穎
