金融与财务学系系列讲座之287期

时   间：2023年9月11日（周一）13:30-15:00

地   点：史带楼604室

主   题：Investor Memory and Biased Beliefs: Evidence from the Field

演讲者：Hongjun Yan (炎宏军)  Professor of Finance, DePaul University

摘   要：We survey a large representative sample of retail investors in China to elicit their memories of stock market investment and return expectations. We merge the survey data with administrative data of transactions to test a model in which investors selectively recall past experiences similar to the present cue to form beliefs. Our analysis uncovers new facts about investor memory and supports similarity-based recall as a key mechanism of belief formation in financial markets. When the market is going up, it cues investors to retrieve episodes of rising markets and recall their past performance more positively. Recalled experiences explain a sizable fraction of cross-investor variation in beliefs and dominate actual experiences in explanatory power. Recalled experiences also drive out the explanatory power of recent returns for expected future returns, ruling in a memory-based foundation for return extrapolation.

简   介：Hongjun Yan is the Richard H. Driehaus Chair in Behavioral Finance at DePaul University. His research focuses on asset pricing in the presence of frictions, including market imperfections and bounded rationality. His studies have been published in the Review of Economic Studies, Review of Financial Studies, Journal of Monetary Economics, Management Science and the Review of Finance, among other journals. He also serves as associate editor of the Journal of Banking and Finance. Yan is the winner of the NASDAQ OMX Award for the Best Paper on Asset Pricing presented at the Western Finance Association's 2011 conference. Before joining DePaul, he taught at the Yale School of Management from 2005 to 2015, and at Rutgers University from 2015 to 2016. He has a PhD in finance from London Business School.

金融与财务学系

2023-9-7