题目：Prospect Theory and Stock Price Behavior in Retail Trading Booms

主讲人：钟晓玲

时间：2025年12月12日14：00-15：30

地点：北京师范大学珠海校区励耘楼B310

摘要：This study employs prospect theory, an influential theory describing investors’attitudes toward risk, to explain the effects of the unprecedented retail investor engagement and market performance in recent times. We find that prospect theory value (PTV) has high power to predict returns during retail trading booms, and this predictability is much stronger for stocks with high investor attention and less subject to arbitrage forces. The retail wave during the COVID-19 pandemic propels PTV’s predictive power in a way unseen in other historical crises. The high return predictability is attributable to attention-grabbing social media, fintech brokerage, investor sentiment, and government stimulus policy.

本研究采用描述投资者风险态度的前沿理论——前景理论，解释近期散户空前参与和市场表现的影响机制。研究发现，前景理论价值指标在散户交易热潮期间具有极强的收益预测能力，这种预测效应在投资者关注度高、套利约束弱的股票中尤为显著。新冠疫情期间的散户浪潮以前所未有的方式增强了前景理论价值指标的预测效力，其高预测能力可归因于社交媒体的注意力吸引效应、金融科技券商的便利性、投资者情绪及政府刺激政策的共同作用。

个人简介：香港城市大学金融学博士，现任深圳北理莫斯科大学高级讲师。主要研究领域为资产定价、行为金融学、固定收益资产、鲁邦算法、机器学习算法等。在Pacific-Basin Finance Journal、Journal of Empirical Finance、Multivariate Behavioral Research、Psychological Methods等学术期刊发表多篇论文。