题　目：Marketwide Memory

嘉　宾：隋鹏飞 助理教授 香港中文大学（深圳）

主持人：幸婧 副教授 金沙威尼斯欢乐娱人城

时　间：2024年11月20日（周三）13:30-15:00

地　点：金沙威尼斯欢乐娱人城 徐汇校区安泰楼B201室

内容简介:

We propose a novel measure that allows us to study memory associations in financial markets over the course of several decades. Using our measure, we construct memory-based beliefs and show that they can explain return expectations from surveys as well as higher-moment beliefs implied by stock options and the VIX. We also show that memory associations drive trading decisions of individual investors: when investors are more likely to recall a past positive (negative) trading experience with a stock, they are more (less) likely to repurchase that stock. Our measure builds on two well-established regularities of associative recall: similarity and interference. For each point in time, it captures the probability that a representative investor recalls past episodes of a stock. Without any further assumptions, our measure generates signature patterns of cued recall, such as the recency effect and the recall of past crises during extreme episodes. We validate our measure using actual recall patterns extracted from transcripts of corporate events, like earnings calls, and show that our measure predicts which historical periods are mentioned during these events. Overall, our results show that theories of human memory can be broadly applied in financial markets.

演讲人简介：

隋鹏飞博士现为香港中文大学（深圳）金融系助理教授。他于2018年在加利福尼亚理工学院获得社会科学（经济学）博士学位。其研究领域涉及行为金融学、资产定价、中国资本市场及金融科技。他的研究成果主要发表于Journal of Financial Economics等金融学顶级期刊，并荣获包括中国金融学术年会在内的多个会议的最佳论文奖。其文章多次在NBER Summer Institute, NBER Behavioral Finance Workshop, AFA, WFA, FRA, CICF,CFRC等国际会议上展示。

Dr. Sui Pengfei is currently an Assistant Professor in the Department of Finance at the Chinese University of Hong Kong (Shenzhen). He obtained his Ph.D. in Social Sciences (Economics) from the California Institute of Technology in 2018. His research interests include behavioral finance, asset pricing, Chinese capital markets, and financial technology. His research findings have been primarily published in top finance journals such as the Journal of Financial Economics, and he has received awards for the best paper at various conferences, including the China Financial Annual Meeting. His articles have been presented multiple times at international conferences like the NBER Summer Institute, NBER Behavioral Finance Workshop, AFA, WFA, FRA, CICF and CFRC.

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