主题：Extrapolators at the Gate: Market-wide Misvaluation and the Value Premium

主讲人：Huseyin Gulen，普渡大学商学院欧洲杯外围竞猜_欧洲杯盘口-投注|官网学教授

时间：4月12日（周三）上午10:00-11:30

地点：4-101教室

语言：英文

摘要：

We show that the magnitude of the value premium over 1968-2018 is conditional on aggregate market-wide misvaluation. The value premium is 3.42% per month following market-wide undervaluation, 1.70% per month following market-wide overvaluation, and close to being nonexistent following periods in which the aggregate market is neither significantly over- or undervalued. Going from normal valuation states to market-wide overvaluation (undervaluation), the increase in the value premium is due primarily to the poor (good) performance of growth (value) stocks. We show theoretically that these facts can be reconciled in a model in which some investors overextrapolate the past performance of stocks. In our model, extrapolators’ demand for value and growth stocks depends not only on the relative performance of these stocks but also on the overall performance of the stock market, which causes investors with extrapolative beliefs to move capital in and out of the equity market. This extrapolative asset-class switching behavior helps explain both the conditionality of the value premium and the drivers of the premium in different market-wide misvaluation states.

主讲人介绍：

Huseyin Gulen is a Professor of Finance at the Mitchell E. Daniels, Jr. School of Business at Purdue University, where he has been a faculty member since 2007. He received a Ph.D. degree in Finance from Purdue University in 2001. Prior to joining the Krannert faculty in 2007, Professor Gulen was a visiting faculty member at the University of Michigan from 2006 to 2007 and a faculty member at Virginia Tech from 2001 to 2007. Professor Gulen’s research is focused on cross-sectional and time-series stock-return predictability, market anomalies, investor behavior, trading strategies, executive compensation, mutual funds, and the effects of political/policy uncertainty. His publications have appeared in numerous journals, including the Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Management Science, Journal of Economic Theory, and Journal of Business. His research has received multiple awards, including the Jack Treynor Prize - Q Group in 2016, and has been frequently covered in the popular press with citations in the Wall Street Journal, the New York Times, and many others.