拉斯维加斯9888

Brown Bag Seminar（2021-12）

Finance Webinar（2021-40）

Topic: Which Expectation? Toward a Unified Framework of Expectation-based Asset Pricing

Speaker: Yingguang Zhang, Peking University

Time: Friday, Oct. 29, 12:00–1:00 PM, Beijing Time

Location: Room K01, Guanghua Building 2

Abstract:

I show that the dynamics of financial analysts' forecast error term structure suggests an expectation formation process that encompasses stickiness in level (Bouchaud et al. (2019)) and extrapolation in growth (Fuster et al. (2010) and Bordalo et al. (2019)). A model in which investors form expectations this way yields consistent predictions for the well-known stock market anomalies, novel predictions for the shape and dynamics of the expectation error term structure as functions of firm characteristics, and other new cross-sectional return implications. The empirical results support all the model's predictions, highlighting the two expectation biases as key ingredients for a unified framework of expectation-based asset pricing.

Introduction:

张英广
，拉斯维加斯9888金融学系助理教授。他在南加州大学马歇尔商学院获得金融学博士学位
，在加州大学伯克利分
；窬醚Ш屯臣蒲儆双学士学位。他的钻研领域重要为资产定价与行为金融
，在近期的钻研中
，他关注市场参加者的预期动态与资产价值的关系。他的论文在多个国际学术会议（如：CQA 2019, AFA 2019, SFS Cavalcade 2018等）上展示。他的论文 “The Earnings Announcement Return Cycle” 获评CQA2019 的最佳论文奖。他在美国多家大型金融机构（如：BlackRock, Moody’sAnalytics, and AQR Capital）的经历也使他的钻研更为贴合金融市场的近况和热点。

Your participation is warmly welcomed!