一、主讲学生与论文题目：

1. 张远（2016级博士生）：Housing Price and Consumer Spending: An Asset Allocation Approach

2. 刘俊（2015级博士生）：News Tone, Investor Sentiment, and Liquidity Premium

二、时间：2022年6月25日（周六）下午14:00-16:00

三、地点：腾讯会议

四、点评与讨论教师：

彭俞超 中央财经大学金融学院 副教授

朱一峰 中央财经大学金融学院 副教授

张欣然 中央财经大学金融学院 助理教授

五、主持人：彭俞超 中央财经大学金融学院 副教授

六、论文摘要

1.  Housing Price and Consumer Spending: An Asset Allocation Approach

This paper is to analyze how housing prices affect consumption of urban households in China based on their asset allocations. We first identify household types based on their liquid and illiquid assets allocations, and in particular, a group unique to China named poor non-hand-to- mouth households, who save much of their incomes for buying houses in succeeding years due to high minimum down payment. We then show both theoretically and empirically that different groups of households based on asset allocations have sharp implications for wealth, substitution and liquidity constraint effects when housing prices change, of which the liquidity constraint effect is most prominent to the poor non-hand-to-mouth households and leads to their much smaller MPC compared to other types of households. Finally, we show our approach leads to a drop of 0.02 elasticity of aggregate consumption over fluctuations of house prices by taking into account both the intensive and extensive margins.

2. News Tone, Investor Sentiment, and Liquidity Premium

Using textual media tone as investor sentiment measure, we find that in China, firms with a more pessimistic (optimistic) news tone lead to more (less) active trading, higher (lower) depth, or spread. This negative (positive) effect of investor sentiment on trading activity or stock liquidity is robust to controlling other firm characteristics and macroeconomic conditions. We observe that the liquidity premium is significant in China, which is more pronounced across firms with an optimistic sentiment. Additionally, we decompose liquidity into the sentiment-driven and non-sentiment-driven (NSD) components and find that the NSD premium is declining. This decline stems from a higher sensitivity of sentiment to liquidity. Besides, we also find that NSD premium performs better following high economic policy uncertainty and low growth of margin trading and stocks with low shareholdings of institutional investors.

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