讲座题目：A Market Level Tug of War: Asset Pricing on … Days

讲座时间：2023.11.21 13:30-15:00

讲座方式：博学楼918

主讲人：赵磊

主讲人简介：

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员会颁发的 leke van den Burg 奖，关于原油市场存储成本的研究论文荣获商品与能源市场协会年会2023最佳论文奖。

讲座内容简介：

A daily tug of war between opposing investor clienteles at the individual stock level has been documented in the asset pricing literature. We measure a market-level tug of war using the cross-sectional intensity of individual tug of war. The Capital Asset Pricing Model (CAPM) tends to perform better and market betas are strongly and positively related to average returns on “quiet days” when the market-level tug of war is less intensive. We further show that the well-established findings that a robust risk-return trade-off exists on important information days (e.g. FOMC announcement days and influential firms earnings announcement days), and during pessimistic sentiment periods hold only when such days coincide with“quiet days”. Overall, we provide a novel explanation for the empirical failure of the CAPM and show that investor disagreement has significant implications on asset pricing.