ENGLISH | 加入收藏 | 设为首页
当前位置: 首页>新闻公告>学术活动

讲座预告 | Short-term Reversal and Realized Profit: The Role of Mental Account Editing in Prospect Theory

发布时间:2019-11-13    来源:

讲座时间2019年11月22日   14:30-16:30

讲座地点25教学楼A区3楼3B教室

主讲人林兟博士后




主讲人简介:

林兟博士毕业于天津大学管理与经济学部。毕业后供职于清华大学五道口金融学院资产管理研究中心博士后,合作导师为余剑峰教授。其研究领域涵盖了行为金融,资产定价,微观市场结构,机器学习的金融理论应用等。论文发表于Accounting and Finance, Journal of Management and Engineering等国际期刊,入选CFRC等高水平国际金融会议。其论文‘Short-term   Reversal and Realized Profit: The Role of Mental Account Editing in Prospect   Theory’(报告论文)获2019金融学年会优秀论文三等奖。


讲座内容:

Previous studies regard short-term reversal as a compensation for liquidity risk. In this paper, we document that a high prior realized profit reduces the risk aversion of liquidity suppliers, and thus reduces the short-term reversal spread in cross-section. We form portfolios double sorted on last month return and realized gain, and find that there is a statistically significant mean of reversal spread among stocks with low realized gain (-1.6% per month). In contrast, the spread becomes negligible among stocks with high realized gain (-0.1% per month). Inspired by prospect theory of Kahneman and Tversky (1979), we find that an explanation based on the mental accounting with quasi-hedonic editing outperforms others, especially for result of the asymmetric influence of the realized gain and loss on the reversal spread.

相关文章
地址:天津市南开区卫津路92号 | 邮编:300072
津ICP备05004358号 津教备0316号 天津大学管理与经济学部 版权所有