题目:A Quantitative Behavioral Model and Its Implications for Market Volatility, Underreaction, and verreaction
演讲者：Kin Lam，Department of Finance & Decision Sciences, Hong Kong Baptist University
时间: 2009年1月9日（星期五）3：00—4：30 PM
地点: 嘉庚二501
参加者: 对财务研究有兴趣的广大师生
主持人： 沈哲老师
论文摘要：
This paper develops a model of weight assignments using a pseudo-Bayesian approach that reflects investors!ˉ behavioral biases. In this parsimonious model of investor sentiment, weights induced by investors!ˉ conservative and representative heuristics are assigned to observations of the earning shocks of stock prices. Such weight ssignments enable us to provide a quantitative link between some market anomalies and investors!ˉ behavioral biases. The seriousness of an anomaly can be quantitatively assessed by investigating into its dependency on weights. New results other than the short- run overreaction and long-run overreaction can be derived and new hypotheses can be formed.
论文作者简介：
LAM, Kin is a Chair Professor from Department of Finance & Decision Sciences of Hong Kong Baptist University. He got his BA in HKU, and PhD in Wisconsin-Madison. His Research Interests are Investment Theory and Portfolio Management, Modelling of Price Movements in Financial Market, Financial Derivatives and Risk Management and Applied Statistics and Probability.
下载：paper.pdf