财务与金融系与会计系联合学术讲座

来源：财务与金融系

主　题：贷款损失预测中的非理性预期：代表性启发法导致的过度反应

主讲人：陆峣（康奈尔大学助理教授）

协调人：王化成、许年行、张敏、倪政辉

时　间：6月17日（周二）下午 14:30-16:00

地　点：明德商学楼1008室

语　言：英语/中文

讲座摘要：

Loan loss forecasts that deviate from rational expectations can have a profound impact on banks’ loan loss provisions, lending procyclicality, and financial stability, especially under the forward-looking current expected credit losses (CECL) model. The behavioral finance literature suggests that bank forecasts can be influenced by the representativeness heuristic, which posits that estimates of future events might overreact to the circumstances that a forecaster is currently experiencing. Leveraging proprietary supervisory data (from Y14A filings), we document the presence of this overreaction in banks’ loan loss forecasts. Specifically, we find that upward (downward) revisions of loan loss forecasts are significantly associated with overestimated (underestimated) future loan losses. This overestimation (underestimation) leads to increased (reduced) loan loss provision, especially for CECL adopters. Supporting its robustness and prevalence, we observe the overreaction in loan loss forecasts across loan types and in forecasts of other performance metrics. Delving deeper into a key input for loan loss forecasts, we find that banks’ regional macroeconomic forecasts exhibit the same overreaction pattern.

主讲人简介：

陆峣，现任康奈尔大学塞缪尔·柯蒂斯·约翰逊管理学院会计学助理教授（2021年7月至今）。2021年获芝加哥大学布斯商学院会计学博士学位，此前于密歇根大学获金融工程硕士与应用经济学硕士双学位（2013年），本科毕业于北京大学物理学专业（2011年）。他的研究方向聚焦信息披露与信息处理、金融机构风险及可持续性，成果发表于顶尖学术期刊。其与Valeri Nikolaev合作的论文《预期贷款损失准备金：实证模型》刊于《会计评论》（The Accounting Review，2022）。另有7篇工作论文持续推进，其中流动性透明度的溢出效应研究（求职代表作）即将发表于《会计研究杂志》（Journal of Accounting Research）。其他合作课题涵盖气候风险对银行影响、AI招聘应用、生物多样性披露等领域。他2022-2023年两度获《会计研究杂志》（Journal of Accounting Research）杰出评审奖，2024年获AAA年会优秀审稿人荣誉。

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