Tracking noise trading through numbers: Is noise trading systematic?
主讲嘉宾 王淏淼
报告人简介:
王淏淼，东北财经大学金融科技学院副教授，经济学博士。研究领域为ESG、金融科技、资产定价、资本市场、行为金融。主持国家自然科学基金青年科学基金项目1项，参与国家哲学社会科学重大项目1项、国家自然科学基金面上项目1项。相关成果发表于《经济研究》《系统工程理论与实践》、Pacific Basin Finance Journal等国内外学术期刊。担任《经济研究》、Pacific Basin Finance Journal等期刊同行评审专家。
报告论文摘要:
We examine the impact of noise trading on stock market returns by exploiting Chinese nu me r o logicalsuperstition, where certain numbers in asset prices are perceived as being lucky or unlucky by uninformed traders. The noise trading (NT) measure, ensured by the difference between the frequencies of lucky and unlucky numbers in stock prices directly captures noise trading activity and negatively predicts Chinas stock market re turns. The results also hold out of sample and are stronger when arbitrage costs are high an din for mat ion availability is low than in other situations. Collectively, our findings support the notion that noise trading contributes to systematic mispricing in the stock market.
活动时间: 2025年3月19日 星期三 上午9:00
活动地点: 金融学院会议室(劝学楼345小会议室)
主办单位: 金融学院、实验经济学实验室
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