时间：2019年4月3日(周三)，13:30-15:00
地点：理科大楼 A302 会议室（中北校区）
题目：Probability Weighting and Asset Pricing
主讲人：石芸（华东师范大学经济与管理学部）
摘要：
The central task of asset pricing is to examine how expected returns are related to risk and to investor's perception of risk. Probability weighting affects investor's perception of risk, especially the tail risk. This paper wants to examine the role of probability weighting behind asset pricing, both theoretically and empirically. In this work, we first consider a one-period-two-date economy with rank-dependent utility agents. After deriving the equilibrium asset pricing formula under probability weighting, we show that in the derived three-moment-CAPM model, the existence of probability weighting is helpful in understanding both the beta pricing and the co-skewness pricing. The cross-sectional empirical analysis further confirms our theoretical findings. We first develop several indices to separate the market into two regimes: overweighting periods and underweighting periods. We find that stock's expected return is positively related to its beta risk during overweighting periods, but negatively related to its beta risk during underweighting periods. Unconditional on probability weighting, these two effects offset each other, resulting in a flat relationship between beta and return. This finding sheds new light on the beta anomaly. We also find that the stock's expected return is negatively related to its co-skewness during overweighting periods but unrelated to its co-skewness during underweighting periods.
主讲人简介：
石芸，华东师范大学经济与管理学部副教授。研究涉及行为金融学、金融工程行为运筹学等多个前沿领域。近年来，研究成果已在Operations Research, Journal of Economic Dynamics and Control, IEEE Transactions on Automatic Control, Naval Research Logistics, Journal of Operational Research Society, European Journal of Operations Research, Mathematical Methods of Operations Research等学术期刊发表。