现邀请你们来参加沙龙的学术研讨。如果你的学生有学术研究兴趣，也请邀请他们参加，无论她/他们是本科生、硕士生或是博士生。
如果希望周五下午和曹杰教授单独学术交流，请尽快联系我(huangwei@swufe.edu.cn).
附件是曹杰教授的简历和宣讲论文。欢迎参加沙龙的研讨！！！
沙龙时间：5月17日（周五）10:00—12:00AM
沙龙地点：柳林校区颐德楼H314
研讨题目："Idiosyncratic Risk, Costly Arbitrage, and the Cross-Section of Stock Returns"
沙龙受邀人：曹 杰（香港中文大学金融系，助教授）
沙龙主持人：马光宇（金融学院，副教授）
沙龙点评人：秦振江（金融研究院，副教授）
沙龙语言：中文、English
沙龙主办方：大金融学术研究沙龙、金融学院、科研处
沙龙论文摘要：We test a new cross-sectional relation between expected stock return and idiosyncratic risk implied by the theory of limits to arbitrage. If idiosyncratic risk prevents arbitrageurs from o?setting the choices of irrational investors and arbitrageurs ?nd it more di?cult to correct the mispricing of stocks with high idiosyncratic risk, then there should be a positive relation between expected return and expected idiosyncratic volatility for relatively undervalued stocks, but a negative relation for relatively overvalued stocks. We combine several well-known anomalies to measure a stock’s relative mispricing. We con?rm that average stock returns monotonically increase (decrease) with idiosyncratic risk for relatively undervalued (overvalued) stocks. Overall, our paper supports limits to arbitrage and idiosyncratic risk as an important arbitrage cost.
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