报告人：万孝园
时间：2022年5月20日 下午2:00
腾讯会议号：607 365 968
【报告人简介】
必赢626net入口首页金融管理学院讲师，硕士生导师，金融学博士。研究领域为实证资产定价、行为金融学、市场微观结构。主持国家自然科学基金青年项目1项，参与上海市“科技创新行动”软科学一般项目1项。在Journal of Empirical Finance, International Review of Economics and Finance, Economics Letters,《系统管理学报》《预测》《商业研究》和《投资研究》等中英文期刊发表论文十余篇。
【内容摘要】
While the literature concedes that CAPM beta is not priced in the US market, recent study finds that CAPM beta is positively related to night stock returns. In stark contrast, we find that the beta-return relation in China exhibits opposite patterns. CAPM beta has a significantly positive relation with daily stock returns, consistent with the notion that market portfolio is a more prominent risk factor in China. Moreover, CAPM beta is positively related to day stock returns. We explore the effect of several unique trading rules in China and show evidence that the “T+1” trading rule is likely the cause.
【主持人简介】
姚澄雪，金融学博士，讲师，毕业于浙江大学。学术研究主要集中在公司金融与资本市场，研究成果相继发表Pacific-Basin Finance Journal, Applied Economics等学术刊物。
【会议地址】
