讲座主题：Survey Forecasts, Sentiment and Stock Market Volatility 调查预测、情绪和股市波动

主办单位：中央财经大学中国财政发展协同创新中心

时间：2021年05月24日下午14:00-16:00

地点：沙河主教406

主讲人

张仁斌，山东大学经济学院金融系助理教授。张仁斌2014年毕业于山东大学经济学院，获金融学学士学位；2020年毕业于巴塞罗那自治大学，获经济学博士士学位。张仁斌的研究方向主要包括：宏观经济学、宏观金融学和信息经济学。

讲座内容

We documents new evidence that survey forecasts of stock prices are not anchored by forecasts of economic fundamentals in US stock markets. This evidence is at odds with a wide range of asset pricing models with various information assumptions. The paper develops and estimates a stock pricing model with adaptive learning and sentiment shocks, which replicates this evidence, together with a set of equity pricing facts. The model suggests that about two-thirds of the fluctuations of stock price dividend ratios are driven by shifting investors’ expectations as a consequence of the dynamic interaction between the sentiment shocks and investors’ learning behavior.