中央财经大学2025年专题学术讲座

教育部人文社科重点研究基地中央财经大学中国精算研究院学术活动

精算论坛第275期讲座

(2025年11月28日)

讲座主题：Realization Utility, the Disposition Effect, and Asset Prices in an Overlapping Generations Equilibrium

摘要：We develop an overlapping generations (OLG) model with three generations of investors to examine the implications of realization utility theory for the disposition effect, asset prices, and trading volume in a general equilibrium framework. Our study finds that time preference, diminishing sensitivity, and loss aversion all contribute to stronger manifestation of the disposition effect among investors with realization utility preferences. This disposition effect, in turn, drives the momentum effect, reduces return volatility, and generates a positive correlation between returns and trading volume. These findings demonstrate that realization utility theory provides an important framework for understanding individual investor tradingbehaviourand asset pricing phenomena.

报告人：陈雪娇

陈雪娇，经济学博士（保险精算方向），毕业于中央财经大学保险学院。目前在中央民族大学经济学院金融系任助理教授、硕士生导师，研究方向为投资组合选择、风险决策和行为金融。在《中央财经大学学报》、《统计与决策》、Communications In Statistics-theory And Methods等国内外期刊发表多篇论文。

讲座时间：2025年11月28日（周五）下午14:30-16:00

报告地点：沙河学院楼13号楼301

邀 请 人：廖朴