喻园管理论坛2024年第95期(总第1027期)

演讲主题:解开分歧与收益的关系：错误定价的作用

主讲人:李有伟 英国赫尔大学商学院教授

主持人:李安泰 计算金融系讲师

活动时间: 2024年10月29日（周二）16:00-17:30

活动地点:管院大楼105室

主讲人简介：

Dr. Youwei Li is currently Professor of Finance at Hull University Business School, UK. He previously worked at Queen's University Belfast, UK. Professor Li holds a PhD in Financial Econometrics from Tilburg University, the Netherlands, and a PhD in Mathematics from Lanzhou University, China. His papers on asset pricing, investment and risk management, market microstructure and quantitative finance have been published in high-level international journals such as Management Science, Review of Finance, European Journal of Operational Research, British Journal of Management, Journal of Economic Dynamics and Control, Journal of Empirical Finance, Journal of Futures Markets, Insurance: Mathematics and Economics, Quantitative Finance, etc. Professor Li is currently the Associate Editor of European Journal of Finance, International Review of Financial Analysis, Financial Research Express, and International Journal of Finance and Economics.

活动简介：

We empirically resolve conflicting evidence on the relation between investor disagreement and expected returns by showing this relation crucially depends on stock mispricing. Using various disagreement proxies, we document a negative relation between disagreement and expected returns for overpriced stocks and a positive relation for underpriced stocks. Our results are unlikely driven by alternative mechanisms but align closely with the model of Atmaz and Basak (2018). Using Regulation Fair Disclosure (Reg FD) as an exogenous shock to disagreement, we observe a significant surge in disagreement following its adoption. This increase in disagreement enhances the dual relationships between disagreement on mispricing.