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讲座题目：When Walls Become Targets: Strategic Speculation and Price Dynamics under Price Limit

时间：2025年12月9日（周二）下午14:00-15:30

地点：博学楼501

主讲人：黎新平

北京大学经济学院研究员

主讲人简介：

黎新平博士，北京大学经济学院研究员，任北京大学金融工程实验室执行主任、北京大学金融创新与发展研究中心副主任，获得北京大学学士和硕士学位、斯坦福大学经济学博士学位。其主要研究方向为量化投资、资产定价、机器学习、金融文本分析、人工智能与金融大模型。曾在国际货币基金组织（IMF）进行新兴国家贷款计划的定价研究，具有多年华尔街投资经验，曾在美国大型对冲基金任资深投资经理，并在国内公募基金任量化投委会主席、量化投资总监及基金经理。曾参与或主持国家自然科学基金、国家社科基金、农业部及北京大学等课题研究及教改项目，讲授《量化投资交易》、《机器学习与资产定价》、《实证金融》等相关课程。

讲座内容简介：

This study shows how price limit rules, intended to stabilize markets, inadvertently distort price dynamics by fostering strategic speculation. Through a dynamic rational expectations model, we demonstrate that price limits induce inherent post limit-up price-jumps by impeding full information incorporation, motivating speculators to artificially push prices to upper bound and exploit uninformed traders. The model predicts two distinct patterns: (1) stocks closing at upper price limits exhibit positive overnight returns followed by long-term reversals, and (2) stocks retreating from upper bound before market close incur significant loss for speculators and demonstrate a "collapse-underperformance" pattern. Empirical analysis confirms these predictions. China's 2020 GEM reform, which widened the price limit from 10% to 20%, provides further causal evidence that relaxed limits mitigate speculative distortions.

作者 | 卢尚霖

审核 | 王茂斌

推送排版 | 何佳苗