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本期主题
Distorted Beliefs and Asset Prices
时 间：2025年12月16日（Tue.）
10:00 - 11:30 a.m.
地 点：同德楼111
主 讲：杨昊晰（中山大学岭南学院）
论文摘要
We study how distorted beliefs shape stock market risk premia. We propose a novel way to measure the time-varying bias in investors’ beliefs and find evidence of both over and underreaction to information. Decomposing expected returns into belief and bias components reveals that they jointly drive objective market return predictability. Finally, shocks to investor bias manifest themselves as discount-rate risk in the data but are misperceived by investors as cash-flow risk. This creates a wedge between investor pricing and the risk-return relationship observed in the cross-section of expected stock returns, helping to explain the deviations from standard theoretical predictions.
主讲简介
Haoxi Yang is an Associate Professor of Finance and a PhD supervisor at Lingnan College, Sun Yat-sen University. She earned her PhD in Finance from Bocconi University in Italy. Before joining Lingnan College, she taught at the School of Finance at Nankai University. Her research interests include asset pricing, macro-finance, and big data analysis. Her research has been published in journals such as the Journal of Business and Economic Statistics, Journal of Banking and Finance, IMF Economic Review, the World Economy, Review of International Economics, as well as in Chinese academic journals like 《经济研究》, 《财贸经济》, and 《南开经济研究》. Her work has received the Third Prize for Outstanding Scientific Research Achievements in Higher Education and the Second Prize for Social Achievements in Tianjin. She has led projects funded by the National Natural Science Foundation of China and serves as a member of the review committee for conferences such as the China International Finance Risk Forum (CIFR).
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