“大金融学科学术研究沙龙”第78期:Self-Enhancing Transmission Bias and Active Investing 

(Released in:2016-06-21 )

主题:Self-Enhancing Transmission Bias and Active Investing

主讲人:多伦多大学 韩冰教授

主持人:金融学院 李四光博士

时间:623日(星期四)下午14:00-16:00

地点:格致楼317会议室

主办单位:金融学院、科研处

主讲人简介:

多伦多大学罗特曼管理学院金融学教授。韩冰教授的主要研究领域是投资和行为金融学。他的论文发表在顶级金融学,经济学和管理学杂志上,包括Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Review of Economic Studies, Journal of Financial and Quantitative Analysis, Management Science, Journal of Economic Theory和以实践为导向的期刊,如Journal of Investment Management, Journal of Portfolio Management等。他的研究成果已发表在许多国际、全国性会议,受到《纽约时报》、《华尔街日报》等媒体的专访。韩冰教授现为美国金融学会、西方金融学会、美国经济学会、欧洲金融学会的成员。由于其杰出贡献,韩冰教授获得了众多国际知名奖项: GARP Risk Management Research Program Award(2013), American Association of Individual Investors award for outstanding paper in asset pricing research(2013), CBA Foundation Advisory Council Fellowship, University of Texas(2011-2013)他曾就职于摩根大通等著名公司。

内容提要:

Individual investors often invest actively and lose thereby. Social interaction seems to exacerbate this tendency. In our model, senders' propensity to discuss their strategies' returns, and receivers' propensity to be converted are increasing in sender return. A distinctive implication is that the rate of conversion of investors to active investing is convex in sender return. Unconditionally, active strategies (high variance, skewness, and personal involvement) dominate the population unless the return penalty to active investing is too large. Thus, the model can explain overvaluation of `active' asset characteristics even when investors have no inherent preference over them. In contrast with nonsocial approaches, sociability and other features of the sending and receiving processes are determinants of the popularity of active investing and the pricing of active strategies.