Topic：

Asset pricing with affectinvesting,gamblingandoverconfidence:Theoryand evidence

Lecturer:：

JiangLuois an associate professor at Nanyang Technological University in Singapore and received his PhD from the University ofCalifornia,LosAngeles.Hisresearch interests include behavioralfinance,investorpsychology and corporate financetheory.Theresults have been published in the Journal of Financial Economics Review of Financial Studies and Review of Accounting.

Abstract:

We present a multi-asset model where investorswith gambling propensities trade withoverconfidentinvestors.Andinvestors susceptible to an affectheuristic.Gamblers derive direct utility from large stockpositions,overconfidentinvestors overestimatethe precision of theirinformation,andaffectinvestors' attitude towards a firm's products impacts their investment in the firm'sstock.Ouranalysis indicates that gambling amplifies trading volumeand mitigates excess return co-movement caused byoverconfidence.Further,risk-adjusted returns decrease in the strength of the affectheuristic,butthis negative relationship attenuates when the gambling propensity ishigh.Empiricalevidence supports theseimplications.

Time: 14:00 --15:00,December14,2023

Venue: B438,ZhixinBuilding,CentralCampus