主題：A Model of Anomaly Discovery（異常發現模型）

主講人：炎宏軍，耶魯管理學院副教授

日期：2014年9月17日（周三）

時間：下午1:30-3:00 （本學期學術研讨會時間統一調整為1:30-3:00，特殊情況另行通知）

地點：清華Betvictor中文版4号樓101教室

語言：英文

摘要：

This paper analyzes the consequences of the discovery of anomalies. It shows that consistent with existing evidence, the discovery of an anomaly reduces its magnitude and makes it more correlated with other existing anomalies. One new prediction is that the discovery reduces the correlation between the two portfolios in the anomaly (e.g., the value and growth portfolios in the value anomaly). We empirically test this prediction for value, size, and momentum anomalies, and find clear evidence consistent with this prediction. Our model also sheds light on how to distinguish risk- and mispricing-based anomalies.

主講人簡介:

Hongjun Yan is an Associate Professor of Finance at Yale School of Management. He received his Ph.D. in Finance from London Business School in 2005. The focus of professor Yan’s research is to better understand financial markets in the presence of frictions, which include imperfections both in markets and in investors (i.e., bounded rationality). His research has been published in several leading journals, such as Review of Financial Studies, Review of Economic Studies and Management Science.