讲座简介：

• 主讲人1：智天皓 博士

• 主题： Is there a housing bubble in China?

• Abstract: There is a growing concern in recent years over th potential formation of bubbles in Chinese real estate market. This paper aims to conduct a series of bubble diagnostic analysis over nine representative Chinese cities from three aspects. First, we investigate whether the housing prices had diverged from the underlying economic fundamentals in terms of per capita income and regional GDP. Second, we examine whether the housing boom is cointegrated with financial and credit factors. Third, we apply the Log-Periodic-Power-Law-Singularity (LPPLS) model to detect whether there is any evidence of unsustainable, self-reinforcing speculative behaviours amongst the housing price series. We maintain that policies such as housing purchase quota are necessary to target cities where prices are significantly derailed from economic fundamentals, as well as cities with significant LPPLS speculative signature. [This is a joint work with Zhongfei Li, Zhiqiang Jiang and Lijian Wei]

• 主讲人2：刘彦初 助理教授

• 主题： Textual Sentiment, Option Implied Informationand Equity Return Predictability

• Abstract: A growing literature shows a predictability of stock returns based on sentiment proxies. More recently, it has been shown that also variables implied from single stock options markets carry predictive content for future equity returns. Where does this predictability stem from? Is it firm-specific information advantage or is it a firm-specific sentiment that is implemented in terms of option-based strategies and thus leads to return predictability? In this work, we aim at answering this question. We distill sentiment from a huge bulk of NASDAQ news articles and examine the various sources of predictive power. We find that options markets react to sentiment from NASDAQ articles in that higher implied volatility, higher out-of-money put prices and stronger smirk can be observed as more negative articles being posted which constitutes more negative sentiment. Next we inspect return predictability. We find that options variables indeed predict stock returns, yet sentiment variables, in particular, our index sentiment remains a highly relevant factor for individual stock returns. Firm specific-sentiment becomes weaker after controlling for information implied in options. The strength of predictions appears to subside from high to low attention firms, but still remains for low-attention firms. We conclude that the predictability of options markets cannot exclusively be attributed to information asymmetry but also to sentiment. [This is a joint work with Cathy Chen (Associate Professor at Humboldt-Universität zu Berlin), Matthias Fengler (Professor at University of St.Gallen, Switzerland) and Wolfgang Hardle (Chair Professor at Humboldt-Universität zu Berlin)]