Slow diffusion of information in asset pricing and risk management

资产定价和风险管理信息传播缓慢

• 批准号: DE180100649
• 负责人: Dr Kai Li
• 金额: $ 25.22万
• 依托单位: Macquarie University
• 依托单位国家: 澳大利亚
• 项目类别: Discovery Early Career Researcher Award
• 财政年份: 2018
• 资助国家: 澳大利亚
• 起止时间: 2018-01-01 至 2022-12-31
• 项目状态: 已结题
• 来源: https://dataportal.arc.gov.au/RGS/Web/Grants/DE180100649
• 关键词: Slow; diffusion; information; asset; pricing

This project aims to develop a unified investment and asset pricing theory for the slow diffusion of information in financial markets, such as momentum, reversal and post-earnings announcement drift. Expected outcomes of this project include the development of optimal methods to explore historical information, a systematic understanding of the impact of investor sentiment and heterogeneity on the speed of asset price response to news, and novel empirical hypotheses and tests that improve return predictability and reduce crash risks. The project will provide a potential competitive advantage and guidance to Australian investors, including superannuation fund managers, in competitive globalised financial markets.

本项目旨在针对金融市场中信息的缓慢扩散，如动量、反转和收益公告后漂移等，建立统一的投资和资产定价理论。该项目的预期成果包括开发探索历史信息的最佳方法，系统地了解投资者情绪和异质性对资产价格对新闻反应速度的影响，以及提高回报可预测性和降低崩溃风险的新颖实证假设和测试。该项目将在竞争激烈的全球化金融市场中为澳大利亚投资者（包括养老金基金经理）提供潜在的竞争优势和指导。