时间：2023年12月28日 14:00

地点：经管楼1205

主讲人：李长泰 应用经济系

题目：Behavioral heterogeneity and financial crisis: The role of sentiment

摘要：Recent empirical works have confirmed the importance of sentiment in asset pricing. In this paper, we propose that sentiment may not affect everyone in a homogeneous way. We construct a sentiment indicator taking into consideration behavioral heterogeneity of interacting investors. We find that sentiment contributes to several financial anomalies such as fat tails and volatility clustering of returns. More importantly, investor sentiment could be a significant source of financial market volatility. Our model with sentiment is able to replicate different types of crises, in which the crisis severity is enhanced with rise of sentiment sensitivity of chartist traders.