汉青论坛第317期：12月22日陈昭晶 PhD Candidate

本期主题: Time-varying Overextrapolation, Momentum,and Value Premium
摘要：
In models of the cross-section of stock returns where some investors over-extrapolatereturns (e.g., Barberis and Shleifer 2003), price momentum and the value premiumboth arise naturally. The key insight from these models is that, to the extent thatmomentum and value are related to the degree of over-extrapolation, the strength andtiming of these patterns will be conditional on how severe over-extrapolation is, withlower (higher) degree of over-extrapolation leading to stronger momentum (value premium). Using the time-series variation in the degree of over-extrapolation documented in Cassella and Gulen (2018), I directly test the hypothesis that both value and momentum stem from over-extrapolation in financial markets. I find that the averagemomentum return is 1.00% (0.10%) per month when the degree of over-extrapolationis low (high), whereas the average value premium is 0.51% (1.29%) per month followinglow (high) levels of over-extrapolation. Furthermore, the degree of over-extrapolationhas different impact on the long and short legs of the portfolios based on differentaggregate market conditions. Overall, my results support the extrapolation-based theories of asset prices, and offer direct evidence about the linkage between some of themost studied asset pricing anomalies and over-extrapolation.


报告人：陈昭晶, 普渡大学格兰纳特管理学院
时间：12月22日（周二） 11：00
地点：明德主楼515教室
诚邀各位老师参加。如果您有兴趣，请于12月21日前回复邮件liu.zhe AT ruc.edu.cn或电话联系，我们将为您预留座位。联系人：刘喆 62510919。


报告人简介：
陈昭晶现于普渡大学格兰纳特管理学院在读金融学博士。陈昭晶于2013年获得中国人民大学金融学与数学的本科双学位，2016年获得中国人民大学汉青经济与金融高级研究院的金融学硕士学位，2020年获得普渡大学的经济学硕士学位，预计于2021年获得普渡大学金融学博士学位。陈昭晶的研究领域主要包括实证资产定价与行为金融学，重点关注投资者推定预期与股票市场异象。她合作的论文“Extrapolators at the gate: market-midemis valuation and the value premium”目前在Journal of Financial Economics R&R。