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【5月24日】講座:《調查預測、情緒和股市波動》(Survey Forecasts, Sentiment and Stock Market Volatility)

發布日期:2021-05-21  點擊數:

主辦單位:中央財經大學中國財政發展協同創新中心

時間:2021年05月24日下午14:00-16:00

地點:沙河主教406

主講人:

張仁斌,山東大學經濟學院金融系助理教授。張仁斌2014年畢業于山東大學經濟學院,獲金融學學士學位;2020年畢業于巴塞羅那自治大學,獲經濟學博士士學位。張仁斌的研究方向主要包括:宏觀經濟學、宏觀金融學和信息經濟學。

講座內容

We documents new evidence that survey forecasts of stock prices are not anchored by forecasts of economic fundamentals in US stock markets. This evidence is at odds with a wide range of asset pricing models with various information assumptions. The paper develops and estimates a stock pricing model with adaptive learning and sentiment shocks, which replicates this evidence, together with a set of equity pricing facts. The model suggests that about two-thirds of the fluctuations of stock price dividend ratios are driven by shifting investors’ expectations as a consequence of the dynamic interaction between the sentiment shocks and investors’ learning behavior.

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