主題：Lottery-Related Anomalies: The Role of Reference-Dependent Preferences（彩票特性相關的市場異象：參考點依賴性偏好在其中的作用）

主講人：安礫，Betvictor中文版助理教授

日期：2015年4月17日（周五）

時間：中午 12:30-13:30

地點：清華Betvictor中文版1号樓501教師休息室

語言：英文

摘要：

This paper studies the role of reference-dependent preferences in explaining several anomalies related to lottery-like assets. Recent studies find that lottery-like assets significantly underperform non-lottery-like assets. Previous explanations usually rely on investors' unconditional preference for lottery-like assets, probably due to their overweighting of small probability events. We show that lottery-related anomalies are significant only among stocks where investors have lost money. Among stocks where investors have profited, evidence for lottery-related anomalies is either very weak or even reversed. Our findings provide support for the reference-dependent preference under which investors are averse to losses and will prefer lottery-like assets following prior losses as such assets provide a chance to recover losses. Our findings are robust to five different measures of the lottery feature of stocks and provide a unified framework to understand lottery-related anomalies that are associated with these measures.

主講人簡介：

Li An is currently an assistant professor at PBC School of Finance, Tsinghua University. Li received her Ph.D. in Economics from Columbia University in 2014, where she worked with Professor Kent Daniel and Professor Paul Tetlock. Li’s research interests mainly lie in empirical asset pricing and behavioral finance. One area of her research is to understand how investor behavior affects equilibrium price dynamics. Other themes include return anomalies, institutional investors, and pension investments. Li’s research connects theory and practice and has been recognized by several academic and professional awards, including Crowell Memorial Prize by PanAgora Asset Management and Chicago Quantitative Alliance (CQA) Academic Competition.