【7月15日】【财政论坛】杨立岩：Information Diversity and Complementarities in Trading and Information Acquisition
发布日期：2015-07-11题目：Information Diversity and Complementarities in Trading and Information Acquisition
主办单位：财政学院
讲座地点：学院南路校区主教楼808
讲座时间：2015年7月15日（星期三）下午16:00—17:30
主讲人：liyan.yang，Full Professor of Finance，Rotman School of Management，University of Toronto, http://www-2.rotman.utoronto.ca/liyan.yang
Education: Ph.D. in Economics, Cornell University, 2010
Research interests: Information and market frictions; return predictability in financial markets.
Publications:
1. Information Diversity and Complementarities in Trading and Information Acquisition, with Itay Goldstein, Journal of Finance, forthcoming.
(Theory) Title is self-explanatory.
2. Differential Access to Price Information in Financial Markets, with David A. Easley and Maureen O'Hara, Journal of Financial and Quantitative Analysis, forthcoming.
(Theory) Curbing access to price information harms market quality and information production.
Winner of the 2011 Northern Finance Association (NFA) Award for the Best Paper on Capital Markets.
Winner of the 2011 Inaugural Meeting of The Chinese Finance Association (TCFA) Award for the Best Paper on Global Financial Markets.
3. Opaque Trading, Disclosure, and Asset Prices: Implications for Hedge Fund Regulation, with David A. Easley and Maureen O'Hara, Review of Financial Studies, 2014, 27(4): 1190-1237.
(Theory) The opaque trading of hedge funds creates its own risk to the economy: An ambiguity aversion approach.
4. Speculation and Hedging in Segmented Markets, with Itay Goldstein and Yan Li, Review of Financial Studies, 2014, 27(3): 881-922.
(Theory) More informed traders may reduce price informativeness, leading to strategic complementarities in information production when traders have different investment opportunities.
5. Rational Information Leakage, with Raffi Indjejikian and Hai Lu, Management Science, 2014, 60(11): 2762-2775.
(Theory) Leaking information to an unrelated party can benefit the insider.
6. Prospect Theory, the Disposition Effect, and Asset Prices, with Yan Li, Journal of Financial Economics, 2013, 107(3): 715-739.
(Theory) Diminishing sensitivity leads to the disposition effect, price momentum, and price-volume co-movement, while loss aversion predicts the opposite.
Winner of the 2009 FMA Conference Best Paper Award.
Summarized in Finance and Accounting Memos (inaugural issue).
7. Asset-Pricing Implications of Dividend Volatility, with Yan Li, Management Science, 2013, 59(9): 2036-2055.
(Theory, Empirical) Dividend volatility as a fundamental risk metric can predict stock returns.
8. Information Acquisition, Social Networks, and Asset Prices, with Bing Han, Management Science, 2013, 59(6): 1444-1457.
(Theory) Social communication improves (harms) market quality in economies with exogenous (endogenous) information.
9. Investor Sentiment, Disagreement, and the Breadth-Return Relationship, with Ling Cen and Hai Lu, Management Science 2013, 59(5): 1076-1091.
(Theory, Empirical) The Baker-Wurgler sentiment index helps to predict the breadth-return relation in the U.S. market.
10. Testing Conditional-Factor Models: A Nonparametric Approach, with Yan Li, Journal of Empirical Finance, 2011, 18(5): 972-992.
(Empirical) Propose a state-variable-free, nonparametric approach to testing conditional factor models.
11. Complementarities, Multiplicity, and Supply Information, with Jayant V. Ganguli, Journal of the European Economic Association, 2009, 7(1): 90-115.
(Theory) Supply information increases coordination possibilities in the financial market, leading to multiple equilibria, which is suggestive of excess volatility and crashes.
12. Theory of Negative Consumption Externalities with Applications to the Economics of Happiness, with Guoqiang Tian, Economic Theory, 2009, 39(3): 399-424.
(Theory) Increasing wealth can hurt social welfare via "peer-group effects."
Working Papers
13. Loss Aversion, Survival, and Asset Prices, with David A. Easley.
(Theory) Market selection is slow in terms of wealth dynamics, but it is effective in terms of pricing impact dynamics.
Winner of the 2012 Northern Finance Association (NFA) Award for the Best Paper on Capital Markets.
14. Disagreement, Underreaction, and Stock Returns, with Ling Cen and John Wei.
(Theory, Empirical) Disagreement predicts future returns only in down markets.
15. Good Disclosure, Bad Disclosure, with Itay Goldstein.
(Theory) Real-efficiency implications of different types of public information.
16. Market Efficiency and Real Efficiency: The Connect and Disconnect via Feedback Effects, with Itay Goldstein.
(Theory) Title is self-explanatory.
17. Disclosure and Endogenous Liquidity Trading: Implications for Market Liquidity and Efficiency, with Bing Han and Ya Tang.
(Theory) Disclosure improves liquidity but harms efficiency when noise traders chase market liquidity.
[编辑]：孙颖
