Topic:The World Price of Reference-dependent Preferences

Time:11:00am – 12:30pm, December 9, 2021

Location:Room 301, 3F of Finance and Economics Building, East Campus

Abstract:

We find that the relationship between reference-dependent preferences (RDP) and future stock returns hinges on national culture. While the positive pricing of RDP dominates worldwide, cultural differences explain the cross-market variation in this relationship. Consistent with the notion that risk-seeking for losses and risk-aversion for gains are stronger in more individualistic markets, RDP is positively priced only in markets with high individuali**. RDP is also essential in explaining volatility- and skewness-related anomalies around the world. Moreover, we find that the impact of national culture on these anomalies is concentrated among stocks with large capital losses in markets with high individuali**.

Profile: Dr. Zhaobo ZHU

Dr. Zhu is the Assistant Professor of Finance at Shenzhen Audencia Business School at Shenzhen University in China, and Audencia Business School in France. Dr. Zhu received Ph.D. in Finance from Old Dominion University in 2016 and MBA from Louisiana State University at Baton Rouge in the USA in 2011. His main research interests are empirical asset pricing, behavioral finance, macro finance, and fintech. He has published 15 papers in elite academic journals such as Journal of Economic Dynamics and Control, Financial Management, Journal of Empirical Finance, and Journal of Portfolio Management, and so on. His papers won several best paper awards in international academic conferences.