题目：Expected Return Shocks and Portfolio Rebalancing

演讲人：张宇（北京大学光华管理学院 副教授）

时间：2023年6月20日（周二）12:00-13:00

地点：同济大厦A楼505室

同步# 腾讯会议：488195294

会议密码：531731

参会链接：https://meeting.tencent.com/dm/NKkpqz8GzrcK

摘要：We study how an expected return shock affects households’ portfolio rebalancing, and the role of financial literacy in shaping these decisions. By using Shanghai’s property tax trial in 2011, which altered the expected returns of investment properties compared to financial assets for a group of households, we examine how households adjust their portfolios in response to this shock. From 2012–2018, households impacted by the 2011 property tax trial increased their participation in the stock market immediately and the risky asset ratio of their portfolio gradually. However, the increases in the stock market participation and risky asset ratio only existed in the treatment group households with high financial literacy. We structurally estimate a quantitative life-cycle model with heterogeneity to match the group-specific moments and response functions, and find that households with low financial literacy on average bear a fixed entry cost of approximately $6,400 compared to $2,700 of households with high financial literacy, and that the expected excess return of stocks for the low financial literacy group is on average 2.8% compared to 5.4% for the high financial literacy group.

简介：张宇，2017年美国普林斯顿大学经济学博士毕业，现担任北京大学光华管理学院金融学系副教授。其研究主要关注微观经济行为与宏观经济和金融市场之间的互动。其关于中国房地产的研究发表于Review of Financial Studies，关于企业与收入不平等的研究发表于Review of Economics and Statistics。