题目：CAPM with View Tendency Adjustment under Imperfect Information 演讲者：Prof. ZhenLong Zheng and  Wei Hu，Department of Finance, School of Economics, Xiamen University 时间:   2007年3月9日（星期五）3：00—4：30 PM     地点:         嘉庚二513 参加者:      对财务研究有兴趣的广大师生 主持人：   邬瑜骏老师 报告论文摘要: In this paper, we extend the traditional CAPM theory by introducing a new concept of risk-return measurement based on view tendency adjustment under imperfect information. The main result is that the generalized excess return can still be described in a single beta representation, except that the systematic risk is now the weighted average of exposed risk and potential risk. Meanwhile imperfect information can induce instantaneous profit by repackaging portfolios, and we name it information premium. We make the hypothesis that this new concept can explain the equity premium puzzle in a way that people have pessimistic view tendency, when there is no perfect information in the postwar US, and it also explains the momentum by the fact that view tendency reciprocates from pessimism to optimism, and it is a mean reversion process. (Empirical study is on going to verify the hypothesis.) 论文作者简介： 1． 郑振龙，男，1966年3月出生，汉族，经济学博士，现任厦门大学研究生院副院长、金融工程教授、博士生导师，厦门大学证券研究中心常务副主任，中国金融学会常务理事兼学术委员，中国金融学会金融工程专业委员会常委，中国金融学年会理事会主席、福建省金融学会副会长、《金融学（季刊）》主编。曾任亚太金融学会（Asia-Pacific Finance Association）理事。2002年入选教育部优秀青年教师资助计划，2004年入选教育部新世纪优秀人才支持计划。Email: zlzheng@xmu.edu.cn   通讯地址：厦门大学研究生院 邮编：361005 2．  胡韡  Email：huwei_vivian@yahoo.com 厦门大学经济学院金融系金融工程博士生，厦门大学经济学院计划统计系系数量经济硕士，厦门大学经济学院计划统计系系信息系统与信息管理学士。主要论文有：  Vulnerable European Call Option Pricing  CAPM with View Tendency Adjustment under Imperfect Information