学术研究

学术信息

当前位置: 首页 » 学术研究 » 学术信息 »

学术讲座:Investor Attention: Endogenous Allocations, Clientele Effects, and Asset Pricing Implications

演讲题目:Investor Attention: Endogenous Allocations, Clientele Effects, and Asset Pricing Implications

主讲人:彭琳

时间:6月25日(周一)中午12:20-13:20

地点:博学918

主讲人简介:

彭琳,纽约市立大学巴鲁克学院(Baruch College)金融学终身讲席教授。彭教授的研究兴趣包括资产定价、行为金融、市场微观结构和公司治理。她的研究发表在顶级经济金融期刊,包括American Economics Review, Journal of Finance, Review of Financial Studies, Journal of Financial Economics, Journal of Financial and Quantitative Analysis, Review of Finance, Journal of Financial Intermediation, Journal of Financial Markets等。她教授投资分析、固定收益分析、市场微观结构、金融市场摩擦等课程。她持有卫斯理大学的硕士学位和杜克大学的金融学博士学位。

Abstract:

This paper investigates investor attention, its determinants, and its effect on investor behavior and asset prices. We find that retail and institutional attention significantly increases following earnings announcements and the release of macroeconomic news, and that the effect is stronger for large firms. When faced with both firm-specific and market-wide information shocks, retail attention to firm-specific information attenuates, especially during periods of greater macro uncertainty, whereas institutional attention does not. Moreover, the presence of macro news significantly lowers the return, volume, and volatility responses to earnings announcements. These results are consistent with the theoretical predictions of investor attention models and suggest that both institutional and retail investor attention are important for asset prices.