题目：The Pricing of Stock Ambiguity and Short-Sale Constraints

演讲人：李楠 （上海交通大学安泰经济与管理学院金融系副教授，博士生导师）

时间：2022年11月1日（周二）12:00-13:00

【线上腾讯会议】

会议号:400688604

密码:347707

参会链接：https://meeting.tencent.com/dm/XSrETMEoIOiJ

摘要：

This paper studies the pricing of ambiguity or Knightian uncertainty in China stock market with binding short-sale constraints. We measure the stock ambiguity by the dispersion in the probability distribution of the daily stock returns estimated from the trading data, based on the method proposed by Izhakian (2020). We find that stocks with a high level of ambiguity have a significantly lower expected return of -13% than those with low ambiguity, equally-weighted or value-weighted, with or without adjustment for the well-known risk factors. Furthermore, the ambiguity premium remains significantly negative, and the magnitude does not decrease, albeit the dispersion in cross-section ambiguity shrinks after the margin trading was allowed for a limited group of stocks on March 31, 2010. As investors can hardly short stocks with the highest ambiguity, the negative ambiguity premium implies the implicit price distortion due to short-sale constraints. Short-selling costs are still high in the China stock market, even after margin trading was allowed.

个人简介：

上海交通大学安泰经济与管理学院金融学副教授、博士生导师，上海交通大学证券金融研究所副所长，美国芝加哥大学经济学博士，武汉大学经济学硕士，数学学士，曾在新加坡国立大学商学院金融系执教近十年。

主要研究领域是金融经济学、金融计量经济学和宏观资产定价理论与实证。目前致力于研究不确定性下的经济政策和投资决策，以及技术创新和无形资产的长期风险、不确定性与估值。她与Lars Peter Hansen（2013年诺贝尔经济学奖获得者）和John C. Heaton合作的文章发表在Journal of Political Economy。她在文汇报，国际金融时报, 上观新闻，FT中文网，日经亚洲等多个颇具影响力的中外媒体发表多篇文章；多次应邀在上海美国商会论坛，上海纽约大学青年学者论坛，华威大学中国发展论坛等做主旨演讲。

李楠具有丰富的中英双语教学和线上、线下、及线上线下融合式教学经验，多门全英文课程入选世界慕课联盟全球融合式课堂，国家教委首批中国高校在线教学国际平台课程，环太平洋大学联盟线上交换项目，交通全球课堂，中国商务（DBIC）在线课程等项目，并获“上海市外国留学生英语教学示范性课程”和“上海市一流本科示范性全英语课程”。