岭南学术交流会(金融系)

发布人:李义华 发布日期:2018-12-04
活动时间
-
活动地址
岭南堂汪道涵会议室

报告题目:Diversification in Lottery-Like Features and Portfolio Pricing Discounts

报 告 人:刘昕(英国巴斯大学  助理教授)

主 持 人:周彤(中山大学岭南学院  助理教授)

时      间:2018127日(周五)上午10:00-11:30

地      点:岭南堂汪道涵会议室

语      言:中文+英文

 

摘要:

Why do portfolios often trade at discounts relative to the sums of their components? I provide a novel explanation based on the prospect theory. I extend the model of Barberis and Huang (2008) and consider multiple assets which may or may not produce extreme positive payoffs together. My model predicts that when these assets do not produce extreme payoffs together, a portfolio consisting of them will trade at a discount relative to the market value when they are traded alone. I present three sets of empirical evidence to support this prediction and provide a novel and unifying explanation for the closed-end fund puzzle, the announcement returns of mergers and acquisitions, and conglomerate discounts.

 

报告人介绍:https://liuxin12.wixsite.com/mysite

 

 

 

欢迎师生参加!