财务与金融系学术讲座系列2022年第6讲

主 题：宏观经济预期调整与资产价格

主讲人: 苏智伟（清华大学博士生）

协调人: 任泓霖

时 间：2022-03-25 09:00

地 点：明商1008会议室

语 言：英文

讲座摘要:

This paper studies the heterogeneous effects of macroeconomic perceptions on asset prices. An upward revision in aggregate productivity expectations is accompanied by an increase in external financing and investment, inflating prices, and lowering subsequent returns, especially for low profitability firms and value firms, which are financially constrained. Thus, revisions in aggregate productivity expectations predict stronger profitability anomalies but weaker value and investment anomalies. Overall, the results suggest that aggregate productivity expectations drive the returns of equity market anomalies through their differential impact on financially constrained firms.

主讲人简介:

Zhiwei Su is a PhD Candidate in PBC School of Finance, Tsinghua University. He received his B.S. degree from University of International Business and Economics, in 2017. His research interests center around behavioral finance and asset pricing. His papers have been invited for presentations at WFA and FMA. His most recent research uses macroeconomic forecast revisions to predict equity market anomalies.