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WEI XIONG

http://www.princeton.edu/~wxiong/ Address Bendheim Center for Finance, 26 Prospect Avenue, Princeton, NJ 08540, USA Phone: (609) 258-0282 Fax: (609) 258-0771 e-mail: wxiong@princeton.edu

Academic Appointments Princeton University, Department of Economics and Bendheim Center for Finance Assistant Professor of Economics, 2000 – present National Bureau of Economic Research, Faculty Research Fellow, 2005 – present

Education Ph.D., Finance, Fuqua School of Business, Duke University, 2001 M.A., Physics, Columbia University, 1995 B.S., Physics, University of Science and Technology of China, Hefei, China, 1993

Research Papers • “Convergence Trading with Wealth Effects: An Amplification Mechanism in Financial Markets”, 2001, Journal of Financial Economics 62, 247-292. • “Contagion as a Wealth Effect”, 2001, Journal of Finance 56, 1401-1440. (with Albert Kyle) • “Overconfidence and Speculative Bubbles”, Journal of Political Economy 111, 2003, 1183-1219. (with Jose Scheinkman) • “Heterogeneous Beliefs, Speculation and Trading in Financial Markets”, Paris-Princeton Lectures on Mathematical Finance, Springer, 2003, 217-250. (with Jose Scheinkman) • “Prospect Theory and Liquidation Decisions”, Journal of Economic Theory, forthcoming. (with Albert Kyle and Hui Ou-Yang) • “Asset Float and Speculative Bubbles”, Journal of Finance, forthcoming. (with Harrison Hong and Jose Scheinkman) • “Investor Attention, Overconfidence and Category Learning”, Journal of Financial Economics, forthcoming. (with Lin Peng) • “Executive Compensation and Short-termist Behavior in Speculative Markets”, Second round submission at Review of Economic Studies. (with Patrick Bolton and Jose Scheinkman) • “Pay for Short-Term Performance: Executive Compensation in Speculative Markets”, invited publication at Journal of Corporation Law. (with Patrick Bolton and Jose Scheinkman) • “Speculative Trading and Stock Prices: An Analysis of Chinese A-B Share Premia” (with Jianping Mei and Jose Scheinkman) • “A General Framework for Evaluating Executive Stock Options” (with Ronnie Sircar) • “The Road to a Technology Bubble is Paved with Good Intentions: Advisors and Asset Prices” (with Harrison Hong and Jose Scheinkman)

Academic Honors • Review of Economic Studies European Tour, May 2000 • Roger Murray Prize in 2001 Q-group meetings

Academic Experiences Invited University Seminars 2005: University of Notre Dame 2004: Wharton School, Ohio State University, Cornell University, University of Kentucky, University of Florida, Rutgers University 2003: New York University, Columbia University, Harvard University, University of Southern California, California Institute of Technology, Carnegie Mellon University, Massachusetts Institute of Technology, University of Rochester 2002: University of Chicago, Northwestern University, Stanford University, Baruch College 2001: University of California – Los Angeles, Rutgers University 2000: University of Chicago, Harvard University, Princeton University, Columbia University, Northwestern University, Ohio State University, Washington University (St. Louis), University of Utah, University College London, University of Toulouse, Tel Aviv University, Tilburg University

Conference Presentations 2005: American Finance Association Meetings in Philadelphia 2004: Econometric Society Winter Meetings in San Diego, Western Finance Association Meeings in Vancouver, NBER Conference on Chinese Economy 2003: American Finance Association Meetings in Washington DC, Utah Winter Finance Conference, Western Finance Association Meetings in Los Cabos Mexico, Blaise Pascal Conference on Financial Modeling in Paris, European Summer Symposium in Financial Markets at Gerzensee Switzerland, NBER Corporate Finance Meeting, NBER Asset Pricing Meeting, HKUST Symposium in Finance 2002: Review of Financial Studies Conference at Kellogg School of Management, 2002 International Finance Conference at Tsinghua University, NBER Behavioral Finance Meeting, 5th Maryland Finance Symposium, Five Star Conference at New York University 2001: American Finance Association Meetings in New Orleans, Q-Group Spring Meeting in Tampa 2000: NASDAQ-Notre Dame Conference in Market Microstructure at University of Notre Dame, 11th Annual Conference in Financial Economics and Accounting at University of Michigan Business School

Conference Discussions 2005: American Finance Association Meetings in Philadelphia 2004: American Finance Association Meetings in San Diego, Econometric Society Winter Meetings in San Diego (session chair) 2003: American Finance Association Meetings in Washington DC, Econometric Society Meetings in Washington DC, HKUST Conference in Corporate Finance 2002: American Finance Association Meetings in Atlanta 2001: Western Finance Association Meetings in Tucson, 7th International Finance Conference in Georgia Tech

Referee American Economic Review Econometrica Economica Journal of Economic Dynamics and Control Journal of Empirical Finance Journal of European Economic Association Journal of Finance Journal of Financial Markets Journal of Political Economy Mathematical Finance Quarterly Journal of Economics Review of Economic Studies Review of Financial Studies

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关键词：行为经济学 行为经济 经济学 Compensation Northwestern 金融 行为经济学 华人

Ming Huang Associate Professor of Finance

BA, Beijing Univ, 1985; PhD, Cornell Univ., 1991; PhD, Stanford Univ., 1996. Asst. Prof., Univ. of Chicago Graduate School of Business, 1996-98. At Stanford since 1998.

Graduate School of Business Stanford University Stanford, CA 94305-5015 E-Mail: mhuang@stanford.edu Phone: (650)723-2616 Fax: (650)725-6152

Publications

"Swap Rates and Credit Quality" (with Darrell Duffie, Stanford University), Journal of Finance, July 1996. "Toeholds and Takeovers" (with Jeremy Bulow, Stanford University and Paul Klemperer, Nuffield College), Journal of Political Economy, June 1999. "Prospect Theory and Asset Prices" (with Nick Barberis and Tano Santos, University of Chicago), Quarterly Journal of Economics, February 2001. (Awarded the 2000 FAME Research Prize by the International Center for Asset Management and Financial Engineering.)

"Mental Accounting, Loss Aversion, and Individual Stock Returns" (with Nick Barberis, University of Chicago), Journal of Finance, August 2001. "Liquidity Shocks and Equilibrium Liquidity Premia," Journal of Economic Theory, March 2003. "Talking up Liquidity: Insider Trading and Investor Relations" (with Harrison Hong, Princeton University), Journal of Financial Intermediation, forthcoming. "Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization" (with Joseph Chen, USC, Harrison Hong, Stanford and Princeton, and Jeffrey D. Kubik, Syracuse University), American Economic Reviews, December, 2004. "The Loss Aversion / Narrow Framing Approach to Stock Market Pricing and Participation Puzzles" (with Nick Barberis, University of Chicago), forthcoming in Handbook of Investments: Equity Risk Premium, Rajnish Mehra ed., North Holland, Amsterdam.

Working Papers

"Stocks as Lotteries: The Implications of Probability Weighting for Security Prices" (with Nick Barberis), December, 2004. "Individual Preferences, Monetary Gambles and the Equity Premium" (with Nick Barberis and Richard Thaler), December 2003. "Preferences with Frames: A New Utility Specification that Allows for the Framing of Risks" (with Nick Barberis), March, 2004. "How Much of the Corporate-Treasury Yield Spread is Due to Credit Risk?" (with Jingzhi Huang, Penn State University & New York University), May 2003. "Asset Pricing with Linear Collateral Constraint" (with Ayman Hindy), 1995.

[此贴子已经被作者于2005-6-3 8:17:42编辑过]

据说黄明最近在国内有一个讲座

经FM3网友纠正，Hong为越南人。既然已经贴上，就当作俺们亲戚放在这儿。不过，这个伙计也忒牛

Harrison Hong Professor of Economics Department of Economics Princeton University Princeton, NJ 08540-5296 Phone: (609) 258-0259 Fax: (609) 258-0771 Email: hhong@princeton.edu http://www.princeton.edu/~hhong/

Articles and Working Papers "A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets" (w/ Jeremy C. Stein;, Harvard University) Journal of Finance, December 1999.

"Trading and Returns under Periodic Market Closures" (w/ Jiang Wang, MIT) Journal of Finance, February 2000.

"Bad News Travels Slowly: Size, Analyst Coverage and the Profitability of Momentum Strategies" (w/ Terence Lim, Goldman Sachs and Jeremy C. Stein, Harvard University) Journal of Finance, February 2000.

"A Model of Returns and Trading in Futures Markets" Journal of Finance, April 2000.

"Security Analysts' Career Concerns and Herding of Earnings Forecasts" (w/ Jeffrey Kubik, Syracuse University and Amit Solomon, Salomon Smith Barney) Rand Journal of Economics, Spring 2000.

"Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices" (w/ Joseph Chen, USC and Jeremy C. Stein, Harvard University) Journal of Financial Economics, September 2001.

"Stochastic Convenience Yield, Optimal Hedging and the Term Structure of Open Interest and Futures Prices" (July 2001)

"Discusion Comments of Momentum and Stock Return Autocorrelation" (w/ Joseph Chen, USC) Review of Financial Studies, March 2002

"Strategic Trading and Learning about Liquidity" (w/ Sven Rady, University of Munich) Journal of Financial Markets, November 2002.

"Breadth of Ownership and Stock Returns" (w/ Joseph Chen, USC, Jeremy Stein, Harvard University) Journal of Financial Economics, November 2002.

"Analyzing the Analysts: Career Concerns and Biased Earnings Forecasts" (w/ Jeffrey Kubik, Syracuse University) Journal of Finance, February 2003.

"Differences of Opinion, Short-Sales Constraints and Market Crashes" (w/ Jeremy C. Stein, Harvard University) Review of Financial Studies, Summer 2003. (Previously circulated as "Differences of Opinion, Rational Arbitrage and Market Crashes")

"Social Interaction and Stock Market Participation" (w/ Jeffrey Kubik, Syracuse University and Jeremy Stein, Harvard University) Journal of Finance, February 2004.

"Transparency: Analysts' Career Concerns and Biased Forecasts," MBA in A Box, May 2004.

"Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization" (w/ Joseph Chen, USC, Ming Huang, Stanford University, and Jeffrey D. Kubik, Syracuse University) American Economic Review, December 2004

"Talking up Liquidity: Insider Trading and Investor Relations" (w/ Ming Huang, Stanford University) Journal of Financial Intermediation, January 2005.

"Thy Neighbor's Portfoli Word-of-Mouth Effects in the Holdings and Trades of Money Managers" (w/ Jeremy C. Stein, Harvard University and Jeffrey D. Kubik, Syracuse University) Journal of Finance, forthcoming.

"Asset Float and Speculative Bubbles" (w/ Jose Scheinkman and Wei Xiong, Princeton University) Journal of Finance, forthcoming.

"Do Industries Lead Stock Markets?" (w/ Walter Torous, UCLA and Ross Valkanov, UCLA) (Revised, July 2003)

"Simple Forecasts and Paradigm Shifts" (w/ Jeremy Stein, Harvard University) (Revised, July 2004)

"The Only Game in Town: Stock-Price Consequences of Local Bias" (w/ Jeffrey Kubik, Syracuse University and Jeremy Stein, Harvard University) (Revised, June 2005)

"Outsourcing Mutual Fund Management: Firm Boundaries, Incentives and Performance" (w/ Joseph Chen, USC and Jeffrey Kubik, Syracuse University) (Revised, December 2004)

"Gone Fishin': Seasonality in Speculative Trading and Asset Prices" (w/ Jialin Yu, Columbia University) (New, March 2005)

"The Road to a Bubble is Paved with Good Intentions: A Model of Advisors and Asset Prices" (w/ Jose Scheinkman, Princeton University and Wei Xiong, Princeton University) (New, March 2005)

[此贴子已经被作者于2005-6-7 8:41:57编辑过]

向华人经济学家致敬，以他们为榜样，大家努力奋斗吧！

Harrison Hong 是越南人，毕业于MIT经济系。

黄明这个学期修学术假。担任长江商学院副院长，金融学教授。 黄明1996年从STANFORD毕业时，是一个“现象”。因为当时美国排名前15位的商学院有13家加入了挣抢黄明的行列（————见商业周刊的封面文章）。黄明旋即加入了芝加哥大学商学院金融系，当年就拿到了MBA评选的最佳教学奖。 黄明博士不仅具有杰出的学术能力，能在一流的学术期刊发表为数众多的论文，更使他与众不同的是，他具有很强的演说能力，其讲授的金融课程深受各类学生（包括MBA）欢迎。黄明现任职于其就读金融学博士时的母校————STANFORD大学。

黄明博士师从于著名金融学家 Darrell Duffie教授。值得一提的是，STANFORD 的金融系规模不大，水平极高。 其中，主要以Darrell Duffie、 Kenneth J. Singleton、Tom Sargent（当时任教于STANFORD经济系） 为主组成的导师组，培养出一批最优秀的华人金融学家，这些人包括黄明（MING HUANG）、刘俊（JUN LIU 任教于UCLA金融系）、潘军（JUN PAN，女，2000毕业，2004年已晋升为MIT金融系副教授）、戴强（QIANG DAI，先后任教于NYU、北卡）、王能（NENG WANG，先后任教于罗彻斯特、哥伦比亚大学）、吴国军（GUOJUN WU， 任教于UMICH）等。

其中黄明、刘俊、潘军、戴强在就读金融学PH D 之前，全部获得了美国著名大学的物理学博士学位。重视学生的数理背景，是STANFORD 金融系PHD 项目的一个显著特点。

————————————————————————

雄伟毕业于中科大少年班物理专业，在DUKE时师从于Albert Kyle。雄伟是金融学界冉冉上升的新星，其在最近几年与著名经济理论家 Jose Scheinkman合作，发表了一系列被广泛引用的文章。

[此贴子已经被作者于2005-7-7 15:05:33编辑过]

太感谢了，给出这么详细的资料。如果楼上能够提供更多这方面的信息，真是我们论坛之福。

不错

有这类信息应多交流

国内有不少人在研究，彼此缺乏沟通

呵呵，个人觉得闲人斑竹把 Hong 划为华人的“亲戚”还是挺合适的啊，理由如下：

1） 可能不少越南人祖先就是中国去的。

2）王江是Hong 的博士论文导师，这么说来 Harrison Hong 还是咱们华人金融学家的指导过的。

3）Hong 的很多合作者都是华人学者——————Ming Huang、Wei Xiong、Jialin Yu、Joseph Chen。 前3个确定是大陆过去的，第四个应该是个美籍华人。

http://www.hbscny.org/PastEvents/moreHarrisonHong2-19-04.htm

Behavioral Finance: How Investor Irrationality Affects Asset Prices - Princeton Professor Harrison Hong

Princeton Professor of Economics, Harrison Hong, takes a relatively analytical look at fundamentals and applications of behavioral finance as he briefly touches upon Efficient Markets Hypothesis before exploring, at length, the cognitive psychology around the impact of recent investor irrationality on asset prices. He explains, under the current market conditions, how people actually make judgments under uncertainty, the heuristics they utilize, and the confirmatory bias and overconfidence they exude. A behavioral model example will be discussed as will the empirical findings on the behavior of investors and internet stock prices with discussions around what went wrong and where was the smart money. Harrison Hong is a Professor of Economics at Princeton University, where he teaches courses in finance in the undergraduate, masters and PhD programs. Before coming to Princeton in 2002, he was on the finance faculty of Stanford University's Graduate School of Business, most recently as an Associate Professor of Finance. He received his BA in economics and statistics with highest distinction from the University of California, Berkeley in 1992 and his PhD in economics from M.I.T. in 1997. Hong's research has covered a range of topics including: behavioral finance and stock-market efficiency; asset pricing and trading with market imperfections; social interaction and investor behavior; career concerns and herd behavior; mutual funds; and security analysts and investor relations. He is on the editorial board of the Journal of Financial Intermediation and has received various research grants and awards.

This event took place on Thursday, February 19, 2004 at Thomas Weisel Partners, 390 Park Avenue (54th Street), 2nd Floor. It was organized by Hemali Dassani '99

[此贴子已经被作者于2005-6-8 6:05:31编辑过]

http://www.gsb.stanford.edu/news/behavioral_finance.html

STANFORD大学商学院2001年的一篇报道，介绍了黄明和Harrison Hong在Behavioral Finance方面的工作。

News Release

FOR IMMEDIATE RELEASE

FOR FURTHER INFORMATION contact Helen K. Chang, 650-723-3358, Fax: 650-725-6750

December 2001

Behavioral Finance: Where Stock Market Psychology and Pricing Intersect

STANFORD BUSINESS SCHOOL — At the zenith of the dot-com craze when Palm Inc. spun off from parent 3Com Corp., its March 2, 2000, IPO touched off a stampede of over-eager investors elbowing their way into the action. When the dust settled at the end of the day, Palm's worth surpassed its parent, even overtaking such titans as Ford Motor Co. and General Motors Corp. Stock market watchers scratched their heads and wondered why investors didn't run up 3Com stock as a cheaper route to Palm.

"3Com owned 94 percent of Palm," points out Ming Huang, an assistant professor of finance at the Stanford Graduate School of Business who has conducted research in the emerging field of behavioral finance. "Yet Palm was trading so high right after its IPO that 3Com's value was much lower than Palm's. That didn't make any sense."

In academia, financial economists were hard put to explain this and other overheated stock behavior in the frenzied months leading up to the bursting of the dot-com bubble. The highly irrational pricing of Internet stock—especially at IPO—did not square with the traditional approach to the study of financial markets, which assumes that markets are always efficient and participants always rational. The traditional view that "smart money" in the market will take advantage of mistakes and human foibles and thereby drive prices back to equilibrium could not explain the collective faulty judgment of a broad base of investors and their impact on stock prices.

"Financial economists have been aware for a long time that in laboratory settings, humans often make systematic mistakes and choices that cannot be explained by traditional models of choice under uncertainty," says Paul Pfleiderer, the William F. Sharpe Professor of Financial Economics and codirector of the Business School's Financial Management Program. "Until recently, most researchers believed these mistakes or deviations from rationality did not have a significant impact on pricing in the financial markets. Now many of us are willing to entertain the notion that some of the behavioral phenomena uncovered in laboratory settings may affect pricing in financial markets."

The question is: Which behaviors? And more important: How do they affect pricing? These are the issues at the core of behavioral finance.

"The tag 'behavioral finance' is stuck to anything that's an unorthodox approach to finance," says Harrison Hong, an associate professor of finance and a leading voice in the rise of the field's popularity. "The good news is that behavioral finance is at the heart of what finance is all about, and that is: What drives stock prices? What drives investors' decision making? The price part is the key. But that step between investors' psychology and stock prices is a very big, hard leap to make."

Hong and fellow faculty member Huang have been perhaps the most visible agents provocateurs of the finance status quo. "They are at the forefront in developing rigorous models that will give us insight into how deviations from our standard assumptions might have important effects on pricing," says Pfleiderer.

While Hong's research has studied asset pricing from the angle of collective investor beliefs, Huang's research has examined the impact on pricing of investors' preferences toward risk.

"The research my coauthors and I worked on proposed to explain an array of pricing phenomena, or anomalies, by merging the traditional asset pricing approach with some evidence from psychology literature of human beings' preferences when faced with uncertainty-what's called the prospect theory," says Huang. Developed by the late Stanford psychologist Amos Tversky and Daniel Kahneman, the theory demonstrates, among other findings, that people care about changes in financial wealth rather than absolute value, and that they are more sensitive to losses than to gains relative to certain reference points. "For example, when we invest in a stock we tend to remember at what price we bought it," he says. "That affects how we feel toward future risk-taking. In particular, we may be less afraid of stock market risk after having accumulated a lot of prior gains—even if there is a small drop in the stock market, we will still be ahead overall."

Huang and his collaborators specifically studied the effects of such preferences on asset pricing. They showed that their framework can help explain why stock investment returns historically exceed interest rates by 6 percent, and why price-earning ratios tend to fluctuate more widely than can be justified by cash flow news. They also have applied this framework to study the predictability of individual stock returns.

Hong and Jeremy C. Stein of Harvard University have modeled and measured the collective effects of investors' beliefs on asset prices. "Rather than saying, 'investors make errors,' we know it's more accurate to say there are different degrees of rationality," says Hong. "Some people are very rational—the professional money or hedge fund types—while others have limitations in their formation of accurate expectations. What happens when you put these people together and you look at the equilibrium prices that result? My research explores that interaction." Specifically, his research shows that simple models of asset pricing featuring these interactions can efficiently reconcile a number of stock price phenomena such as momentum in stock prices, the overvaluation of IPOs such as that of Palm Inc., and market crashes.

Hong's 1999 study on stock return momentum suggests that past winning stocks continue to perform well, and past losers continue to perform poorly because prices adjust too slowly to information about the company. The research also found that bad news about a company travels slowly and has a less immediate impact than good news on stock prices.

His research in 2000 found that when investors have different opinions about stock valuation and some are short-sales constrained, breadth of ownership in a company's stock is a valuation indicator. In other words, an increase in the number of investors in a stock demonstrates agreement among a broader base of opinions and forecasts higher returns. Conversely, a reduction in the number of investors in a stock forecasts lower returns. An earlier, related study found that within a six-month period, heavy trading volume in a firm's stock signals intense differences in opinion among the firm's investors and presages the stock's crash.

Hong's most recent research tries to understand what determines investors' beliefs or opinions. It tests the idea that stock market participation is influenced by social interaction, or the effects of investors' peer groups. Using data from the Health and Retirement Study administered by the University of Michigan's Institute for Social Research beginning in 1992, Hong and his fellow researchers found that sociable households that either know their neighbors or attend church are substantially more likely to invest in the stock market, all other factors being equal. Moreover, sociability is stronger in geographic areas where stock market participation rates are higher.

"There is a lot of evidence on prices that indicate markets are predictable," says Hong. "Now we're taking steps toward bridging the gap between hypothesis and rigorous, empirical testing. I think that's what behavioral finance is about."

Related Articles: Social Interaction and Stock-Market Participation, Harrison Hong, Jeffrey D. Kubik, and Jeremy C. Stein, GSB Working Paper, June 2001 (PDF version )

Breadth of Ownership and Stock Returns, Joseph Chen, Harrison Hong, and Jeremy C. Stein, Journal of Financial Economics, Forthcoming, 2001

Forecasting Crashes: Trading Volume, Past Returns, and Conditional Skewness in Stock Prices, Joseph Chen, Harrison Hong, and Jeremy C. Stein, Journal of Financial Economics, September 2001

Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies, Harrison Hong, Terence Lim, and Jeremy C. Stein, Journal of Finance, February 2000 (PDF version )

Prospect Theory and Asset Prices, Ming Huang, Nicholas Barberis, Tano Santos, Quarterly Journal of Economics, February 2001 (PDF version )

Mental Accounting, Loss Aversion, and Individual Stock Returns, with Nicholas Barberis, Journal of Finance, Forthcoming, 2001 (PDF version )