一⏱、主题：Investor Sentiment: Behavioural or Rational?
二、主讲人：凃俊，新加坡管理大学金融学副教授，新加坡管理大学沈基文金融经济研究院亚洲资产证券化与资产管理中心主任◽️🚣🏿♂️。2004年，毕业于华盛顿大学，获金融学博士。主要研究领域包括实证资产定价🚂、资产配置、预测、行为金融👇🏽⛱、组合管理✍🏻、金融计量和贝叶斯金融分析。其研究成果在Journal of Financial Economics, Review of Financial Studies, Journal of Financial and Quantitative Analysis, and Management Science等国际期刊发表🎚。他的研究成果在金融业界也产生了明显影响🧟，如CFA Digest、Citibank Reports等业界杂志都刊登过其研究成果。另外，他也长期关注中国股票市场，在国内核心期刊发表过多篇相关研究论文。
三、时间🙌🏼：2015年10月26日（周一），12:30-13:30
四、地点：北京K8凯发平台娱乐开户官方网站主楼913会议室
五🧑🦽、主持人😧：姜富伟，凯发平台讲师
Abstract: In this paper, we first remove fundamental information content from Baker and Wurgler(2006) six sentiment proxies thoroughly. Then we exploit the residual non-fundamental information of Baker and Wurgler(2006) six sentiment proxies in a more efficient manner to obtain a new purged index for the purpose of explaining the expected return cross-sectionally. Empirically, we find that our purged investor sentiment index has a similar or greater power in predicting the stock returns cross-sectionally as using the original Baker and Wurgler (2006) sentiment index without removing much fundamental information content. As a result, our purged sentiment index could be considered as a better measure of a behavioural driven investor sentiment. In addition, our study show that the original Baker and Wurgler (2006) sentiment index captures a behavioural driven investor sentiment component. Therefore, it seems fine for many studies to adopt the Baker and Wurgler (2006) sentiment index with a behavioural interpretation.
