讲座预告 | Short-term Reversal and Realized Profit: The Role of Mental Account Editing in Prospect Theory

讲座时间：2019年11月22日 14:30-16:30

讲座地点：25教学楼A区3楼3B教室

主讲人：林兟博士后

主讲人简介：

林兟博士毕业于华球城在线注册。毕业后供职于清华大学五道口金融学院资产管理研究中心博士后，合作导师为余剑峰教授。其研究领域涵盖了行为金融，资产定价，微观市场结构，机器学习的金融理论应用等。论文发表于Accounting and Finance, Journal of Management and Engineering等国际期刊，入选CFRC等高水平国际金融会议。其论文‘Short-term Reversal and Realized Profit: The Role of Mental Account Editing in Prospect Theory’（报告论文）获2019金融学年会优秀论文三等奖。

讲座内容：

Previous studies regard short-term reversal as a compensation for liquidity risk. In this paper, we document that a high prior realized profit reduces the risk aversion of liquidity suppliers, and thus reduces the short-term reversal spread in cross-section. We form portfolios double sorted on last month return and realized gain, and find that there is a statistically significant mean of reversal spread among stocks with low realized gain (-1.6% per month). In contrast, the spread becomes negligible among stocks with high realized gain (-0.1% per month). Inspired by prospect theory of Kahneman and Tversky (1979), we find that an explanation based on the mental accounting with quasi-hedonic editing outperforms others, especially for result of the asymmetric influence of the realized gain and loss on the reversal spread.