Topic: A Natural Experiment Test for Asset Pricing Models

Speaker: ZHANG Tongbin

Abstract: The high and volatile AH premium in the connected Chinese stock markets provides a natural experiment to test asset pricing models. We show that various present-value asset pricing models, in which stock prices are determined only by fundamentals, are rejected because of their difficulties in explaining AH premium. We find that an internal rationality learning model can be squared with the AH premium and show the importance of subjective stock price expectations in equity pricing. Convergence traders are highly likely to suffer a big loss in this situation.

Date: Thursday, April 25, 2019

Time: 12:10-13:30

Location: Room 712, Academic Hall, City Campus, CUFE