【信息通知】2018年第64期青年学术沙龙：Security valuation model and real estate bubble
2018年第64期“海大青年学术沙龙”由综合交通运输协同创新中心举办，沙龙主题为“Security valuation model and real estate bubble”。本次沙龙由综合交通运输协同创新中心邀请到美国丹佛大学Pei Peter Lung教授主讲。
主讲人简介：龙霈教授（Pei Peter Lung）是美国丹佛大学丹尼尔斯商学院、科罗拉多州丹佛清算所讲席教授。龙霈教授毕业于德州理工大学金融专业，获得博士学位。龙霈教授的研究工作主要集中于投资、衍生品交易、风险管理、波动率交易策略、行为风险调整定价模型等领域。在这些领域，龙霈教授拥有丰富的理论和实务经验。他的研究成果曾发表在Journal of Financial and Quantitative Analysis，the Financial Management，International Review of Economics & Finance，Journal of Banking and Finance，Journal of Futures Markets等金融学国际杂志。他也兼任多个顶级期刊的匿名审稿人。
讲座摘要：As the first decade of the 21st century closed questions were posed as to why economists did not better predict—and accordingly, better address—the problems that presented themselves during the period. Central to the issues during the 2000s decade were the effects of asset bubbles, both in the stock market at the beginning of the decade and in real estate prices towards the end. The results of this study encourage a theory as well as a proxy for asset mispricing that may help identify problem markets in the future. Overall, Asset turnover—one of the proxies of the overconfidence theory—exhibits a persistent relationship with mispricing no matter the model covariates, time period, or econometric method. The same cannot be stated for expected inflation, the proxy for the inflation-illusion hypothesis. The robustness of asset turnover is noteworthy as the high transaction costs associated with residential real estate should bias the results against the overconfidence theory and the asset-turnover proxy. Further muddling the results should be the fact that the investment component of housing is only part of the utility to an owner occupant. Because consumption of shelter is the other portion, the strength and consistency of the relationship between turnover and mispricing is striking.