学术报告新

Haoxi Yang is an Associate Professor of Finance and a PhD supervisor at Lingnan College, Sun Yat-sen University. She earned her PhD in Finance from Bocconi University in Italy. Before joining Lingnan College, she taught at the School of Finance at Nankai University. Her research interests include asset pricing, macro-finance, and big data analysis. Her research has been published in journals such as the Journal of Business and Economic Statistics, Journal of Banking and Finance, IMF Economic Review, the World Economy, Review of International Economics, as well as in Chinese academic journals like 《经济研究》, 《财贸经济》, and 《南开经济研究》. Her work has received the Third Prize for Outstanding Scientific Research Achievements in Higher Education and the Second Prize for Social Achievements in Tianjin. She has led projects funded by the National Natural Science Foundation of China and serves as a member of the review committee for conferences such as the China International Finance Risk Forum (CIFR).

We examine the impact of distorted investor beliefs on stock market risk premia. By measuring the time-varying bias in investor beliefs, we decompose the objective (statistical) conditional expectation of market returns into two components: investors’ beliefs about future returns and their expectational bias. Variation in this bias manifest itself as discount-rate risk in the data but is viewed as cash-flow risk by investors, creating a wedge between investor pricing and the observed risk-return relationship. Thus, accounting for distorted beliefs helps explain the deviations from theoretical predictions observed in the cross-section of expected stock returns.