题目：Investor attention and commonalities across asset pricing anomalies
主讲人：刘津宇，清华大学博士
时间：11月15日，10:00
地点：新主楼A1140
摘要：
We comprehensively exam the effects of investor’s attention of individual stocks on daily financial market anomalies. The weekday effect of anomalies coincides with the seasonality of investor attention. Using the double-sort methodology, we find that most of anomalies are stronger for stocks attracting relatively higher investor attention. After purifying other impacts with the stocks reaching price limits as exogenous shocks, our conclusion still holds. Investor attention may help to explain financial market anomalies beyond investor sentiment, because noise traders invest in stocks that catch excessive attention and make arbitrage hard and mispricing persistent.
主讲人简介：
刘津宇，清华大学金融学直读博士生。研究方向 ：实证资产定价、股票市场异象、公司资本结构。
经管学院科研办
2016-11-11
