名  称：Expected Return Shocks and Portfolio Rebalancing

时  间：2023年12月11日（周一） 14:00—15:30

地  点：后主楼1722

主讲人：高  明 北京大学经济学院 长聘副教授

主持人：胡聪慧 766全讯白菜网999策略白菜手机论坛 副教授

内容摘要：We study how an expected return shock affects households, portfolio rebalancing, and the role of financial literacy in shaping these decisions. By using Shanghai’s property tax trial in 2011, which altered the expected returns of investment properties compared to financial assets for a group of households, we examine how households adjust their portfolios in response to this shock. From 2012–2018, households impacted by the 2011 property tax trial increased their participation in the risky assets immediately and the risky asset ratio of their portfolio gradually. However, the increases in the risky asset participation and risky asset ratio only existed among households with high financial literacy. We structurally estimate a quantitative life-cycle model with heterogeneity to match the group-specific moments and response functions, and find that households with low financial literacy on average bear a fixed entry cost of approximately $4,864 compared to $1,706 of households with high financial literacy, and that the expected excess return of financial risky assets for the low financial literacy group is on average 3.9% compared to 6.6% for the high financial literacy group. 

主讲人简介：高明现任北京大学经济学院长聘副教授、博士生导师，北京大学中国金融研究中心副主任。他的研究领域是家庭金融、行为金融和投资学，研究成果发表于《经济研究》《管理世界》《金融研究》和Journal of Financial Economics、Journal of Futures Markets等中英文期刊。曾获PwC 3535金融与会计年度最佳论文奖、中国劳动经济学者论坛年会优秀论文奖、北京大学优秀共产党员标兵、北京大学优秀德育奖、北京大学教学优秀奖等荣誉奖励。高明于北京大学光华管理学院获得经济学学士和博士学位，他同时拥有北京大学国际关系学院的法学学士学位。高明曾于2005至2007年服役于中国人民解放军火箭军并荣立军功，2013至2015年担任北京大学团委副书记，2015至2016年为普林斯顿大学经济系和本德海姆金融中心访问学者。