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【讲座通知】经济金融名家讲坛2023年第11期(总第19期)

讲座题目:Prospect Theory in the Field: Revealed Preferences from Mutual Fund Flows

讲座时间:2023年12月7日(星期四)9:30-10:30

讲座地点:博学910

主讲人:韩冰,加拿大多伦多大学罗特曼管理学院金融学教授

主讲人简介:

韩冰, 加拿大多伦多大学罗特曼管理学院金融学教授,多伦多证券交易所资本市场讲座教授, Visiting Chair Professor at Hong Kong Polytechnic University. 韩冰教授的主要研究领域是资产定价,投资,行为金融学,房地产金融。他的多篇论文发表在顶级经济,金融和管理学学术杂志上,包括Journal of Finance, Journal of Financial Economics,Review of Financial Studies, Review of Economic Studies,International Economic Review, Journal of Economic Theory,Management Science等。他的研究成果受到《纽约时报》《华尔街日报》《华盛顿邮报》《经济学人》等媒体的专访和报道。韩冰教授获得了众多国际知名学术奖项,包括欧洲金融协会最佳论文奖,中国金融协会会议最佳论文奖,美国个人投资者协会在资产定价研究中获优秀论文奖,上海风险论坛最佳论文奖, 中国国际金融与政策论坛杰出论文奖, 全球金融专业人士协会终身成就奖。韩冰教授现任Review of Finance, Journal of Economic Dynamics and Control,Journal of Empirical Finance,International Review of Finance和Pacific-Basin Finance Journal副主编

讲座摘要:

Using mutual fund flows, we evaluate prospect theory with choice outcomes in the market. We provide strong support for prospect theory: under a standard set of parameters, funds whose past returns generate higher prospect theory value attract significantly larger future flows; we also find corroborative evidence using account-level data. Taking a revealed preference approach, we estimate the prospect theory parameters through a discrete choice model and find that our field-based estimates align well with previous experiment-based estimates. Moreover, we show that prospect theory offers a new framework for understanding flows, as it has explanatory power over and above existing drivers.