【简报】天美制作果冻视频系列学术研讨会(103)
2014-03-31 00:00:00
此次学术研讨会，来自美国伊利诺伊大学香槟分校的JAEWON CHOI教授来我院进行学术交流。CHOI教授已在Review of Financial Studies，Journal of Derivatives等刊物发表研究论文。徐伟、Sung Bin Sohn、Hursit Selcuk Celil等数位教授参加了这次研讨会，并进行了精彩的互动。本次研讨会主要探讨的主题是“Anomalies and Market (Dis)Integration”。 
摘要：
The equity and corporate bond markets are integrated through sentiment-driven mis-pricing, not through rational pricing. Investment-based theories and structural credit risk models do not explain simultaneously the cross sections of equity and bond returns. In particular, profitability and net issuance anomalies do not exist in the corporate bond market. The risk premia associated with asset growth and investment anomalies are not consistent with structural credit risk models, although the two anomalies exist in the bond market. Rather, there exists strong sentiment-driven co-movement in the risk premia as-sociated with anomaly variables. Such co-movement is not explained by business cycles and shows common mispricing in equity and corporate bonds. In conclusion, rational pricing theories only partially explain the joint cross sections of returns, while investor sentiment drives co-movement in mispricing in the two markets.
