Anomalies in the Age of Machine（机器时代的因子异象）

主讲人：

孟令超（北京大学经济学院金融学系博士生，研究方向：实证资产定价、文本分析、行为金融）

题目：

Anomalies in the Age of Machine（机器时代的因子异象）

时间：

2021年12月16日周四

12:00-13:30

地点：

 北京大学经济学院302会议室

摘要：

As machines play a more and more important role in modern financial markets, how are the patterns of asset prices impacted? We shed light on this issue by investigating the effect of increased machine readership, proxied by machine downloads on EDGAR, on prominent equity return anomalies. We find that the average returns of anomalies constructed using stocks with more machine downloads are much lower, which cannot be explained by alternative theories. The impact of machine downloads increases over time and is stronger when human investors have more biased expectations. The better processing of information and faster trading jointly contribute to the effect of machine downloads. Also, our findings are more consistent with the mispricing theory than risk compensation theory. Overall, our work uncovers the important role of machine downloads on improving the market efficiency.