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    1. 【95周年校慶系列講座】Does Speculation in Financial Markets Have Real Effects?

      時間:2020-07-31         閱讀:

      光華講壇——社會名流與企業家論壇第 5837 期

      (線上講座)

      主題Does Speculation in Financial Markets Have Real Effects?

      主講人馬里蘭大學 Mark V. Loewenstein教授

      主持人金融研究院 Philip H. Dybvig教授

      時間2020年8月4日(周二)9:00-10:30

      直播平臺及會議ID騰訊會議

      主辦單位:金融研究院 科研處

      主講人簡介:

      Prof. Mark V. Loewenstein from Robert H. Smith School of Business, University of Maryland, received his Ph.D. from Columbia University. His research interests include asset pricing, portfolio selection, and employee compensation valuation and design. His recent work focuses on asset pricing when there are limits to arbitrage, portfolio selection when investors face transactions costs, and valuation of employee stock options. His work has appeared in the Journal of Finance, Review of Financial Studies, the Journal of Economic Theory and elsewhere.

      Mark V. Loewenstein教授從哥倫比亞大學取得博士學位,目前是馬里蘭大學羅伯特H.史密斯商學院金融系教授,他的研究興趣包括資產定價,投資組合選擇和員工薪酬估值和設計。他最近的研究重點是有限套利前提下的資產定價,當投資者面臨交易成本時的投資選擇,以及員工股票期權的估值。他的論文發表在《金融期刊》、《金融研究評論》、《經濟理論期刊》等雜志上。 Mark V. Loewenstein教授的個人簡歷及其他相關信息詳見:https://www.rhsmith.umd.edu/directory/mark-loewenstein

      內容提要:

      This paper examines how speculation in financial markets can affect real investments and asset prices with asymmetric adjustment costs. Investors with recursive preferences have heterogeneous beliefs about real productivity and extraneous risk uncorrelated with productivity. Speculation in financial markets, even on extraneous risk uncorrelated, can significantly affect real investment and asset prices. Speculation can either decrease or increase real investment and asset prices depending on whether investors elasticity of intertemporal substitution (EIS) is less or greater than 1. With the EIS above 1, speculation can generate various boom-and-bust patterns such as what happened in the recent US housing markets.

      本文研究了調整成本不對稱的前提下,金融市場中的投機行為如何影響實際投資和資產價格。具有遞歸偏好的投資者對實際生產率和與生產率無關的外部風險有各種不同的看法。金融市場的投機行為,即使是針對無關的外部風險的投機行為,也會顯著影響實際投資和資產價格。投機行為可以降低或增加實際投資和資產價格,這取決于投資者跨期替代彈性(EIS)是否小于或大于1。當投資者跨期替代彈性大于1時,投機行為可以產生各種經濟繁榮和蕭條交替循環,比如最近美國房地產市場發生的情況。

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