财务金融系系列讲座之221期

时间：2017年11月7日（周二）13:30

地点：史带楼603室

主题：Explaining the Risk-Return Tradeoff in China: An Adaptive view of Investor Expectations under Implicit Government Guarantees

演讲者：Prof. Jing Yao  School of Economics, Fudan University

摘要：This paper shows that the market's risk-return tradeoff in the Chinese stock market is unstable over time, depending crucially on the salience of crash-like market features. Over the period from 1997 to 2016, we find robust evidence that the market's mean-variance relation is significantly positive in low-crash periods, but not in high-crash periods. The result is consistent with a hypothesis that market participants adapt their psychological expectations to an implicit market-wide government guarantee using simple heuristics. We also examine whether popular behavioral views, e.g., investor sentiment and skewness preference, are relevant and find no significant evidence. The latter result is consistent with the view that the price impacts of animal spirits will become less relevant when expected government actions hook investor attention.

简介：Jing Yao is an Associate Professor in the School of Economics at Fudan University. His research interests are Behavioral Finance, Financial Risk Management, and Cultural Differences. His papers have been accepted for publication in Journal of Economic Dynamics and Control, Journal of Banking and Finance, Operations Research, Quarterly Review of Economics and Finance.

财务金融系

2017-11-2