讲座嘉宾：赵磊
时间：2024年12月12日，周四，10:00-11:30
地点：学术会堂603
讲座题目：Market-Level Tug of War and Asset Pricing市场层面的拉锯战与资产定价
摘要：We propose a simple indicator function based on the aggregate tug-of-war between overnight and intraday traders, and use it to identify two types of trading days: quiet and noisy days. We analyze these days and document that the security market line is upward sloping on quiet days and downward sloping on noisy days. This result is robust to a number of additional tests. Moreover, the result holds on both (i) important macroeconomic and earnings news days and (ii) other days, challenging some proposed explanations in the literature. We present and test a mechanism based on the over-correction hypothesis to rationalize the finding.
主讲人：赵磊，欧洲高等商学院（ESCP Business School）副教授，主要研究领域为银行，资产定价以及公司金融。他的研究成果发表于Journal of Financial and Quantitative Analysis, Journal of Economic Behavior and Organization以及Journal of International Money and Finance等国际期刊。他关于政府隐性担保的研究成果入围了2015年欧洲证券交易委员会咨询科学委颁发的leke van den Burg奖， 关于原油存储成本的研究论文荣获商品与能源市场协会2023年会最佳论文奖。
主办方：创新发展学院中国金融发展研究院
讲座地址：中央财经大学（学院南路校区）北京市海淀区学院南路39号
文字：赵磊
审稿：吴仰儒、赵阳
编辑：沈嘉怡
审核：王颖
