报告题目：The Risk-Return Tradeoff in China: Does the Market Stability Objective of Government Intervention Matter?
报 告 人：姚京（复旦大学）
姚京，复旦大学经济学院副教授，经济学博士。研究成果在 Journal of Economic Dynamics and Control， Journal of Banking and Finance， Operations Research 等学术期刊发表。最近的研究兴趣为行为金融学、金融风险管理等。
This study shows that the risk-return tradeoff in China varies with market instability features in the direction indicated by the market stability objective of government intervention. Using stocks traded in China between 1997 and 2016, we find that the market's mean-variance relation is significantly positive in the months of low crash-like market features, but not in high-crash months. Meanwhile, such two-regime pattern helps to account for the serial correlation of market returns and becomes more pronounced on the CSRC announcement days. We also find that bubble-like market features are useful for detecting a positive mean-variance relation of individual stocks, but not useful at the market level. Overall, the evidence is consistent with the notion that government's attempts to maintain market stability attract investor speculation in bad times and neutralize sentiment-related speculation in boom times, and an idiosyncratic shock is not sufficient to trigger such responses.
撰稿：于源 审核：史永东 单位：应用金融与行为科学学院