主讲人Speaker: 陶然   助理教授    英国布里斯托大学

时间Date & Time: 2025年7月4日（周五），下午14:00--15:30

地点Venue:粤海校区汇星楼565会议室

内容简介/ Abstract:

We propose a simple indicator function based on the aggregate tug-of-war between overnight and intraday traders, and use it to identify two types of trading days: quiet and noisy days. We analyze these days and document that the security market line is upward sloping on quiet days and downward sloping on noisy days. This result is robust to a number of additional tests. Moreover, the result holds on both (i) important macroeconomic and earnings news days and (ii) other days, challenging some proposed explanations in the literature. We present and test a mechanism based on the over-correction hypothesis to rationalize the finding.

主讲人介绍/Biography of the speaker：

陶然博士毕业于英国雷丁大学，现任英国布里斯托大学（University of Bristol）助理教授。其主要研究领域包括资产定价与行为金融，研究兴趣聚焦于：1）新闻媒体如何影响金融市场的运行机制；2）运用文本分析方法探讨更广泛的社会科学中的重要问题。其研究成果发表于 Research Policy；British Journal of Management；Journal of Empirical Finance 等国际权威期刊。他目前参与英国国家级研究基金项目（BA/Leverhulme Small Research Grants scheme）“Media, Momentum and the UK Stock Market: 1888–2021”。此外，他亦著有《Python Guide to Accompany Introductory Econometrics for Finance》一书。