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國立臺灣大學計量理論與應用研究中心 - CRETA


CRETA Seminar

2019 年 04 月 25 日 CRETA Seminar


2019 年 04 月 25 日 CRETA Seminar


國立臺灣大學計量理論與應用研究中心 (CRETA)、國立臺灣大學財務金融學系及臺灣經濟計量學會 (TES) 將於 2019 年 04 月 25 日舉辦 CRETA Seminar。相關資訊如下。


04 25 CRETA Seminar

日期:2019 年 04 月 25 日 (週四) 下午 2:00~4:50

地點:集思台大會議中心 B1 達文西廳

講者:Professor Shu-Feng Wang, College of Business Administration, Ajou University

演講主題:Allocation of Attention and the Delayed Reaction of Stock Returns to Liquidity Shock: Global Evidence



  For 40,000 stocks from 40 countries, we find significant delay in the response of stock returns to liquidity shock. Our measure of delay is larger in countries with good informational environment and with high individualism even after controlling for institutional frictions such as market illiquidity, stock market development, and short-sale constraint. The delay is reduced in large down market, while it is not in large up market. Our findings imply that investor inattention is an important source of price delay and that the attention allocation is affected by country’s informational environment and culture. Overall, our findings suggest that high informational quality at the country-level may work as a friction by inducing the failure of optimal allocation of attention.



Professor Wang is an assistant professor of Finance at Ajou University since March 2019. Before she joined Ajou Business School, she served as an assistant professor in finance at National Central University and Sungkyunkwan University. Her research interest covers empirical asset pricing, international finance, short-selling and control related issue in emerging market business group. She is currently involved in multiple projects regarding liquidity risks, tail risks and their pricing implication in international financial markets. She has published journals such as JBF, JCF, and PBF.


為方便場地安排及人數預估,欲參加 CRETA Seminar的 朋友們,煩請事先報名,當天講義將優先提供給報名者。


其他參加者報名費為NT$200 (當天將開放現場繳交台灣經濟計量學會 2019 年年度會費)。

報名期限:2019/04/24 (三) 13:30


為方便臺灣經濟計量學會 (TES) 會員繳納 108 年度會費,本次活動開放現場繳納會費,亦歡迎大家介紹非會員朋友加入 TES。更多研討會資訊請見 TES 網站:http://www.tesociety.org.tw/main.php



議  程:

下午 1:30 ~ 2:00 報到

下午 2:00 ~ 3:10 First session

下午 3:10 ~ 3:30 Tea Break 

下午 3:30 ~ 4:50 Second session