演讲人：K.C. John Wei（School of Accounting and Finance, Hong Kong Polytechnic University; Professor）

时间：2024年3月27日（周三）12:00-13:00

地点：同济大厦A楼402室

同步#腾讯会议：109638281

会议密码：469356

链接：https://meeting.tencent.com/dm/OzX06iMr8fpf

摘要：

This paper explores how investors’ perception of crash risk affects real macroeconomic outcomes in the U.S. and the asset pricing in the global markets. We propose to measure perceived crash risk from the cross-section of individual stocks with different levels of firm-level crash risk. The price of crash-prone stock (PCS) is defined as the difference in average book-to-market ratios of the most crash-immune and the most crash-prone stocks. In the U.S., a low PCS value is strongly correlated with a high CBOE SKEW index level and low institutional investors’ confidence about no market crash. The PCS measure is low in an environment with low real rates, high credit spreads, and an inverted yield curve. Low PCS significantly forecasts high unemployment rates, low private firm investments, and more negative deviation of actual GDP from the potential level. In the global setting, the PCS measure significantly affects the pricing of the aggregate market portfolio and portfolios of stocks sorted by crash risk. Exposures to the PCS carry significant premiums among individual stocks. The results shed light on the important role of time-varying perceived crash risk on economic fluctuations in the real economy and the pricing of financial assets.

简介：

Professor John Wei is currently Professor of Financial Economics at The Hong Kong Polytechnic University (PolyU). He received his PhD in Finance from the University of Illinois, Champaign-Urbana. He previously taught at University of Mississippi, University of Miami, and Indiana University. Before joining PolyU, he served as Chair Professor of Finance at Hong Kong University of Science and Technology (HKUST) and had worked there for 24 years. He previously served as Director of Value Partners Center for Investing and Director of the Center for Asian Financial Markets and Director of Master of Science (Financial Analysis)/(Investment Management) Programs at the HKUST for many years. He served as Acting Head in the Department of Finance at HKUST during the period of January 2000-August 2002, February-June 2003, and June 2015. Moreover, he assisted to develop wealth management and investment models for, among others, Hang Seng Bank Limited, HSBC Corporation Limited, and Fidelity Investments Management (Hong Kong) Limited.

Professor Wei’s research interests are mainly in the areas of empirical asset pricing, international finance, and corporate governance. He has published more than sixty articles in leading finance and accounting journals, including Journal of Finance, Journal of Financial Economics, The Accounting Review, Management Science, Journal of Financial and Quantitative Analysis, and Journal of Business, among others.

Professor Wei is best known for his extensive research on the cross-section of stock returns in the U.S. and international markets. He has discovered some new and important anomalies associated with cross-sectional return predictability and have first introduced “individualism” to the empirical asset pricing literature. Four of these papers have been cited by 2013 Economic Nobel Prize Laureate, Eugene Fama, and his co-author, Kenneth French. Most of his papers are well cited. Many of his papers are associated with the foundation of those factors in the Fama and French (2015) five- factor model and the Hou, Xue, and Zhang (2015) q-factor model.

He has received more than 8.1 million HK dollars (= 1.04 million US dollars) grant from Hong Kong SAR’s Research Grants Council as principal investigator.