喻园管理论坛2025年第2期(总第1043期)
演讲主题:Underreaction Associated with Return Extrapolation:Evidence from Post-earnings-announcement Drift
主讲人:杨思远 清华大学五道口金融学院博士
主持人:薛明皋 计算金融系教授
活动时间:2025年01月16日(周四)14:30-16:30
活动地点:管院大楼107室
主讲人简介:
杨思远,清华大学五道口金融学院2020级在读博士生(硕博连读),研究兴趣为行为金融与资产定价、中国资本市场以及金融科技。获得清华大学五道口金融学院刘鸿儒特等奖学金、AFA PhD Travel Grant等。论文发表(含待刊发)于《Management Science》。研究论文曾入选AFA PhD Poster Session、CICF、CFRC、AsianFA、AFBC、中国金融学年会、中国金融科技学术年会等国内外重要学术会议。曾获中国金融学年会最佳论文二等奖、CTFM最佳论文奖(资产定价)、AFBC Alt Data Tech Prize、“经世学者”论坛暨清北人三校博士生论坛最佳论文奖等。
活动简介:
Using data from a stock forum, we analyze return extrapolation in the cross-section. Our findings indicate that extrapolators overreact to the returns but underreact to the fundamentals. The post-earnings-announcement drift (PEAD) is more pronounced among firms with a high firm-level degree-of-extrapolation (DOX). Additionally, investors ask fewer questions about high-DOX firms’fundamental information on official online interactive platforms. Extrapolation reduces the informativeness of stocks due to investors’inattention to fundamentals. Furthermore, extrapolators’overreaction to returns and underreaction to fundamentals increase stock price crash risks. These findings support explanations of extrapolation based on limited asymmetric attention.