【4月25日】 【CEMA研讨会2019春季第八讲】 A Natural Experiment Test for Asset Pricing Models
发布日期：2019-04-19论文题目：A Natural Experiment Test for Asset Pricing Models
报告人：张同斌（上海财经大学高等研究院助理教授）
论文摘要：The high and volatile AH premium in the connected Chinese stock markets provides a natural experiment to test asset pricing models. We show that various present-value asset pricing models, in which stock prices are determined only by fundamentals, are rejected because of their difficulties in explaining AH premium. We find that an internal rationality learning model can be squared with the AH premium and show the importance of subjective stock price expectations in equity pricing. Convergence traders are highly likely to suffer a big loss in this situation.
时间：4月25日（周四）中午12:10-13:30
地点：学院南路校区学术会堂712
报告人简介：张同斌，上海财经大学高等研究院助理教授。2017年毕业于西班牙巴塞罗那自治大学经济系，获经济学博士学位；研究领域为宏观经济学，金融经济学，资产定价等。
主办：中国经济与管理研究院
[编辑]：张萌
