2025年第57期(总第1098期)

演讲主题：When Optimism Breeds Risk: Evidence from LLM-Analyzed Fund Manager Forecasts

主讲人：刘嘉 英国朴茨茅斯大学教授、创新与可持续会计与金融中心主任

主持人：王林 管理科学系教授

活动时间：2025年9月24日（周三）14:30-16:30

活动地点：管院大楼219教室

主讲人简介：

刘嘉，英国qy千亿球友会院士，英国伯明翰大学经济学博士，朴茨茅斯大学教授。曾经就职于利兹大学和索菲尔德大学。研究方向包括大数据、风险管理、可持续性和金融科技等。在国际期刊发表80多篇学术论文,包括近20篇ABS-4和FT50期刊。曾获欧洲管理杂志(EU)、英国qy千亿球友会(英国)、西南金融协会(美国)、以及Eurasian商业与经济协会(EBES)的“最佳论文奖”。她目前是英国qy千亿球友会执行官(Executive)、英国会计和金融协会主席(Chair)。同时，担任多本期刊的主编/副主编,如International Journal of Finance and Economics (ABS 3)主编、British Journal of Management (ABS 4; ABDC-A*)副主编等。

活动简介：

We develop a novel large language model-based multi-entity sentiment analysis framework (LLM-MESA) that enables fine-grained, entity-specific measurement of sentiment in financial texts. Applying this method to mutual fund manager reports, we extract expectations in their communications regarding the stock market, bond market and macroeconomy, providing the first evidence on how institutional stock market sentiment predicts crash risk. We find that managers’optimistic equity outlooks significantly increase crash risk, indicating that institutional forecasts embed non-rational sentiment. This effect is particularly pronounced among lower-skill funds, when macroeconomic expectations are pessimistic, and when bond market views are optimistic. Mediation analysis shows that optimism amplifies institutional herding and attracts sentiment-driven retail investors into equity trading, thereby exacerbating crash risk. Our study demonstrates the value of LLM-MESA for financial text analysis, advances understanding of the mechanism linking institutional sentiment to crash risk, and contributes to the debate on whether institutional investors stabilize or destabilize markets.