主讲人：韩冰(多伦多大学教授)
主持人：周铭山（金融学院副院长、副教授）
时 间：2015年5月15日（周五）上午9：30—11:30
地 点：金融学科实验楼411会议室
主办单位：金融学院、科研处
主讲人简介：
多伦多大学罗特曼管理学院金融学教授。韩冰教授的主要研究领域是投资和行为金融学。他的论文发表在顶级金融学，经济学和管理学杂志上,包括Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Review of Economic Studies, Journal of Financial and Quantitative Analysis, Management Science, Journal of Economic Theory，和以实践为导向的期刊，如Journal of Investment Management, Journal of Portfolio Management等。他的研究成果已发表在许多国际、全国性会议，受到《纽约时报》、《华尔街日报》等媒体的专访。韩冰教授现为美国金融学会、西方金融学会、美国经济学会、欧洲金融学会的成员。由于其杰出贡献，韩冰教授获得了众多国际知名奖项： GARP Risk Management Research Program Award(2013), American Association of Individual Investors award for outstanding paper in asset pricing research(2013), CBA Foundation Advisory Council Fellowship, University of Texas(2011-2013)。他曾就职于摩根大通等著名公司。
讲座内容：
We study a model in which two groups of investors have different
beliefs about the expected dividend growth rates of two stocks. The state price density is a affected by investor disagreements for both stocks, especially that for the larger stock. The model predicts a positive relation between investor disagreement about one stock and the expected return as well as return volatility of the other stock, even when the fundamentals of two stocks are uncorrelated. This spillover effect is stronger from a large stock to a small stock than vice versa. These novel model implications are supported by empirical analysis.
