首页 学院概况 学位教育 高层培训 师资团队 科学研究 国际交流 党建之窗 学生工作 实验中心 情铸经管 English Version 下载专区
新闻通知
 
 学院新闻
 通知公告
 学术报告
 
  您的位置:首页 > 新闻通知 > 学术报告
长江学者讲座教授蒋丹凌学术讲座
作者:陈丹    发布时间:2017-07-03 15:06:25    访问次数:2701  
 

讲座题目: Mood Beta and Seasonalities in Stock Returns

                        情绪Beta值和股票收益率的季节性

讲座时间: 2017年7月4日上午9:30

讲座地点:九里信息楼0204#



讲座内容:


Existing research has documented cross-sectional seasonality of stock returns—the periodic outperformance of certain stocks relative to others during the same calendar month, weekday, or pre-holiday periods. A model based on the differential sensitivity of stocks to investor mood explains these effects and implies new sets of seasonal patterns. We find that relative performance across stocks during positive mood periods (e.g., January, Friday, the best-return month realized in the year, the best-return day realized in a week, pre-holiday) tends to persist in future periods with congruent mood (e.g., January, Friday, pre-holiday), and to reverse in periods with non-congruent mood (e.g., September/October, Monday, post-holiday). Stocks with higher mood betas estimated during seasonal windows of strong moods (e.g., January/September/October, Monday/Friday, pre-holidays) earn higher expected returns during future positive mood periods and lower expected returns during future negative mood periods, including those induced by Daylight Saving Time changes and weather conditions.  

主讲人简介:

蒋丹凌,南京大学金融学学士,美国俄亥俄州立大学经济学硕士,美国俄亥俄州立大学金融学博士。现任美国纽约州立大学石溪分校商学院金融学副教授,Dean’s Emerging Scholar,我院长江学者讲座教授。在Review of Financial Studies, Journal of Financial and Quantitative Analysis, Management Science等期刊发表学术论文十余篇,担任 Financial Analysts Journal的咨询委员会成员和二十余种国际学术期刊、国际会议和组织的审稿员。

 
学院办公地址:信息楼0606 | 电话:028-87600822/87601403 | 邮编:610031
Copyright © 2005 经济管理学院 All rights reserved 设计与技术支持:经管院信息中心
本站内容未经我院授权,任何单位及个人可下载但不得转载 管理登录   旧版网站