学术讲座 | 金融学系讲座（2021-10-13）

Finance

 Seminar

 2021-34

Topic: Investor Sentiment and the Pricing of Characteristics-Based Factors 

Speaker: Zhuo Chen, Tsinghua University

Time: Wednesday , October 13, 10:00-11:30 a.m. Beijing Time

Location: Room 217, Guanghua Building 2

Abstract 

Using portfolios that are formed by directly sorting stocks based on their exposure to characteristics-based factors, earlier studies find that these beta-sorted portfolios have very large ex post factor beta spreads. However, the return spreads between high- and low-beta firms are typically tiny and insignificant. This study examines the time variation in the pricing of a large set of characteristics-based factors. Our evidence shows a striking two-regime pattern for most of the factor-beta-sorted portfolios: high- beta portfolios earn significantly higher returns than low-beta portfolios following high- sentiment periods, whereas the exact opposite occurs following low-sentiment periods. Remarkably, this two-regime pattern is completely reversed when macro-related factors, such as consumption growth and TFP growth, are used. The evidence based on mutual fund and hedge fund returns also confirms this two-regime pattern. Our findings suggest that the exposure to most of these characteristics-based factors is likely to be a proxy for the level of mispricing, rather than risk, especially during high-sentiment periods. 

Coauthors: Bibo Liu, Huijun Wang, Zhengwei Wang, Jianfeng Yu

 Introduction 

陈卓现任清华大学五道口金融学院副教授，他的研究领域包括实证资产定价与中国金融市场，包括中国债券市场，地方政府债务，量化风险管理，基金评估，以及金融计量学。他的研究成果发表于多个国际国内顶尖期刊，包括Journal of Financial Economics, Management Science, Review of Finance，经济学（季刊）等。陈卓教授的研究成果还曾获得多项国际学术奖励，包括SFS Cavalcade“亚瑟·沃加”最佳固定收益论文奖，中国金融研究会议最佳论文奖，普华永道金融论坛最佳论文奖，芝加哥数量投资协会学术竞赛奖等。陈卓于2014年毕业于美国西北大学凯洛格商学院，获得金融学博士学位。在此之前，他获得了美国杜克大学的经济学硕士学位和北京大学工程学与经济学双学士学位。

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