一、題目：Does sentiment depend on reference level? Evidence from Hong Kong Typhoon Signals

二、主講人：才靜涵，美國斯科蘭頓大學金融學副教授

才靜涵，美國斯科蘭頓大學金融學副教授，波士頓學院經濟學博士，香港城市大學金融學博士，深交所金融學博士後。曾就職于深圳證券交易所綜合研究所及中國銀行總行。在The Review of Financial Studies, Economics Letters, Finance Research Letters, Journal of Private Equity, Economics Bulletin, 《管理科學學報》《中國金融學》等期刊發表論文數十篇。研究領域包括金融市場微觀結構、行為金融學、投資者行為等。

三、時間：2022年6月8日10:00-11:30

四、地點：騰訊會議 ID：930-435-304

五、主持人： 姜富偉教授，金融工程系主任

六、内容簡介

We find empirical evidence supporting the expectation-based reference- dependent preference through the positive sentiment created by holidays using the unique features of Hong Kong stock market. First, we find that sentiment is experienced relative to a reference level: The stock market goes up on the days with likely day-off from looming typhoons and this typhoon effect is stronger than the holiday effect from weekends and public holidays. Second, the reference level for sentiment is based on expectation: The stock market goes up more on days with stronger typhoon signal and under strengthening typhoon signals but goes up less under weakening signals. Third, the informativeness of a signal is important such that barely informative good news can be undesirable: The stock market goes down under weak standby typhoon signals.