一、主題：Investor Sentiment: Behavioural or Rational?

二、主講人：凃俊，新加坡管理大學金融學副教授，新加坡管理大學沈基文金融經濟研究院亞洲資産證券化與資産管理中心主任。2004年，畢業于華盛頓大學，獲金融學博士。主要研究領域包括實證資産定價、資産配置、預測、行為金融、組合管理、金融計量和貝葉斯金融分析。其研究成果在Journal of Financial Economics, Review of Financial Studies, Journal of Financial and Quantitative Analysis, and Management Science等國際期刊發表。他的研究成果在金融業界也産生了明顯影響，如CFA Digest、Citibank Reports等業界雜志都刊登過其研究成果。另外，他也長期關注中國股票市場，在國内核心期刊發表過多篇相關研究論文。

三、時間：2015年10月26日（周一），12:30-13:30

四、地點：bevictor伟德官网主樓913會議室

五、主持人：姜富偉，bevictor伟德官网講師

Abstract: In this paper, we first remove fundamental information content from Baker and Wurgler(2006) six sentiment proxies thoroughly. Then we exploit the residual non-fundamental information of Baker and Wurgler(2006) six sentiment proxies in a more efficient manner to obtain a new purged index for the purpose of explaining the expected return cross-sectionally. Empirically, we find that our purged investor sentiment index has a similar or greater power in predicting the stock returns cross-sectionally as using the original Baker and Wurgler (2006) sentiment index without removing much fundamental information content. As a result, our purged sentiment index could be considered as a better measure of a behavioural driven investor sentiment. In addition, our study show that the original Baker and Wurgler (2006) sentiment index captures a behavioural driven investor sentiment component. Therefore, it seems fine for many studies to adopt the Baker and Wurgler (2006) sentiment index with a behavioural interpretation.