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【95周年校庆系列讲座】Does Speculation in Financial Markets Have Real Effects?

时间: 2019-07-31         阅读:

光华讲坛——社会名流与企业家论坛第 5837 期

(线上讲座)

主题: 外围买彩票appDoes Speculation in Financial Markets Have Real Effects?

主讲人: 外围买彩票app马里兰大学 Mark V. Loewenstein教授

主持人: 外围买彩票app金融研究院 Philip H. Dybvig教授

时间: 2020年8月4日(周二)9:00-10:30

直播平台及会议ID: 腾讯会议

主办单位:外围买彩票app_靠谱的外围买球app_【官网】 金融研究院 科研处

主讲人简介:

外围买彩票appProf. Mark V. Loewenstein from Robert H. Smith School of Business, University of Maryland, received his Ph.D. from Columbia University. His research interests include asset pricing, portfolio selection, and employee compensation valuation and design. His recent work focuses on asset pricing when there are limits to arbitrage, portfolio selection when investors face transactions costs, and valuation of employee stock options. His work has appeared in the Journal of Finance, Review of Financial Studies, the Journal of Economic Theory and elsewhere.

Mark V. Loewenstein教授从哥伦比亚大学取得博士学位,目前是马里兰大学罗伯特H.史密斯商学院金融系教授,他的研究兴趣包括资产定价,投资组合选择和员工薪酬估值和设计。他最近的研究重点是有限套利前提下的资产定价,当投资者面临交易成本时的投资选择,以及员工股票期权的估值。他的论文发表在《金融期刊》、《金融研究评论》、《经济理论期刊》等杂志上。 Mark V. Loewenstein教授的个人简历及其他相关信息详见:

内容提要:

This paper examines how speculation in financial markets can affect real investments and asset prices with asymmetric adjustment costs. Investors with recursive preferences have heterogeneous beliefs about real productivity and extraneous risk uncorrelated with productivity. Speculation in financial markets, even on extraneous risk uncorrelated, can significantly affect real investment and asset prices. Speculation can either decrease or increase real investment and asset prices depending on whether investors elasticity of intertemporal substitution (EIS) is less or greater than 1. With the EIS above 1, speculation can generate various boom-and-bust patterns such as what happened in the recent US housing markets.

外围买彩票app本文研究了调整成本不对称的前提下,金融市场中的投机行为如何影响实际投资和资产价格。具有递归偏好的投资者对实际生产率和与生产率无关的外部风险有各种不同的看法。金融市场的投机行为,即使是针对无关的外部风险的投机行为,也会显著影响实际投资和资产价格。投机行为可以降低或增加实际投资和资产价格,这取决于投资者跨期替代弹性(EIS)是否小于或大于1。当投资者跨期替代弹性大于1时,投机行为可以产生各种经济繁荣和萧条交替循环,比如最近美国房地产市场发生的情况。

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