题　目：Sentiment and Asset Price Dynamics under Keeping up with the Joneses

嘉　宾：何学中 教授 西交利物浦大学

主持人：杨   彪 助理教授 上海交通大学安泰经济与管理学院

时　间：2024年3月15日（周五）10:00-11:30

地　点：上海交通大学 徐汇校区安泰楼A511室

内容简介:

We develop a closed-form approach to examine the joint effect of “keeping up with the Joneses” (KUJ) preferences and time-varying sentiment of heterogeneous beliefs on equilibrium asset price dynamics in a two-agent economy. We show that, due to KUJ, sentiment continues to have a significant effect on equilibrium asset price, though the sentiment-driven agent does not survive in the long run. When agents are pessimism on average, the model can generate countercyclical equity premiums, procyclical and concave price-dividend ratios, and excess and countercyclical stock volatility similar to those observed in the U.S. equity market. In particular, an average of 0.7% (p.a.) underestimation of the expected GDP growth based on the Survey of Professional Forecasts can explain about half of the market equity premium. Moreover, the term structure of real interest rates is upward (downward) sloping when the short rate is relatively low (high).

演讲人简介：

Prof Xuezhong (Tony) He joined the IBSS Department of Finance as a Professor in Finance in 2022. Tony is an internationally recognized expert in asset pricing, financial market modeling, market microstructure, financial economics, and nonlinear dynamics in finance and economics. His international research profile is attested by his publications in finance and economics, invited contributions to the prestigious Handbook of Financial Markets and Handbook of Computational Economics, numerous keynote talks at international conferences, and many competitively Australian and Chinese research grants. Regarding research impact, RePEc (Research Papers in Economics) Ranking puts Tony in the Top 3% in Asia and China. He has published 1 book, 15 book chapters, and more than 60 papers in journals, including The Journal of Finance, Management Science, Economic Research Journal (经济研究), and Journal of Economic Dynamics and Control, His publications have been cited over 3,600 times in Scopus and 6,000 times in Google Scholar. He had been a Co-Editor of the Journal of Economic Dynamics and Control (an ABDC A* journal) for ten years (2013-2022). He is also a Senior Editor, Department Editor, Associate Editor, and Guest Editor for several other journals in finance and economics.

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