Seminar (Dept. of Finance)

Theme：Macroeconomic Perceptions and Asset Prices

Speaker：Zhiwei Su, PhD Candidate, Tsinghua University

Time：2022-03-25 09:00

Address：Room 1008, Mingde Business Building

Language：English

ABSTRACT:

This paper studies the heterogeneous effects of macroeconomic perceptions on asset prices. An upward revision in aggregate productivity expectations is accompanied by an increase in external financing and investment, inflating prices, and lowering subsequent returns, especially for low profitability firms and value firms, which are financially constrained. Thus, revisions in aggregate productivity expectations predict stronger profitability anomalies but weaker value and investment anomalies. Overall, the results suggest that aggregate productivity expectations drive the returns of equity market anomalies through their differential impact on financially constrained firms.

SHORT BIOGRAPHY:

Zhiwei Su is a PhD Candidate in PBC School of Finance, Tsinghua University. He received his B.S. degree from University of International Business and Economics, in 2017. His research interests center around behavioral finance and asset pricing. His papers have been invited for presentations at WFA and FMA. His most recent research uses macroeconomic forecast revisions to predict equity market anomalies.