Finance Seminar（2019-08)

Topic: New Tests of Expectation Formation with Applications to Asset Pricing Models

Speaker: Tongbin Zhang, Shanghai University of Finance and Economics

Time: Friday, 8 March, 12:15-13:30

Location: Room 217, Guanghua Building 2

Abstract:

The paper develops new tests of expectation formation which are generally applicable in financial and macroeconomic models. The tests utilize cointegration restrictions among forecasts of model variables. Survey data suggests forecasts of stock prices are not cointegrated with forecasts of consumption and rejects this aspect of the formation of stock price expectations in a wide range of asset pricing models, including rational expectations and various learning or sentiment-based models. We show adding sentiment (or judgment) directly to subjective stock price forecasts can reconcile equitypricing models with the new survey evidence.

Introduction:

Prof. Zhang received his PhD at Universitat Autonoma de Barcelona, Spain and joined Shanghai University of Finance and Economics as Assistant Professor of Economics in 2017. He obtained a BA in Finance at Zhejiang Gongshang University, and a MA in Economics at Shanghai University of Finance and Economics. His research field focuses on macroeconomic and financial economics, specifically the role of expectation in asset pricing.

//tongbinzhang.weebly.com/

Your participation is warmly welcomed!