【学术午餐会2019年第4期】彭程:Price and Volume Dynamics in Bubbles

日期: 

星期一, 五月 13, 2019, 12:30pm2:00pm

地点: 

北京大学经济学院305会议室

【主讲人】 Cameron Peng (彭程)

【主持人】 高明 助理教授

【报告摘要】 We propose a framework based on two ingredients—extrapolative beliefs and the disposition effect—and show that it can generate the sharp rise in both prices and volume observed in many bubbles. We test this framework using novel, account-level data on the 2014–2015 Chinese stock market bubble. The interaction of extrapolative beliefs and the disposition effect explains 30% of the rise in volume. Investors who are both extrapolative and prone to the disposition effect are quick to buy a stock with positive past returns, but also quick to sell it if good returns continue.

【主讲人介绍】 Cameron Peng is an Assistant Professor of Finance at the London School of Economics and Political Science. He received his bachelor degree from Peking University and Ph.D. in Financial Economics from Yale School of Management. Cameron’s research interests include asset pricing, behavioural finance, and household finance. His dissertation studied the price and volume dynamics of financial bubbles, using account-level data during the 2014–2015 Chinese stock market bubble. His current research focuses on how mutual funds affect stock prices through positive feedback trading, how the law of small numbers can shed light on existing puzzles of investor behaviour, and how to link survey results to actual trading behaviour.

http://www.econ.pku.edu.cn/ltjz/317851.htm