时间Time：5月31日（周二）｜ May 31th (Tuesday),19:00–20:30
地点Venue：文泉楼南313会议室｜Meeting Room313,WENQUAN ,
主讲人Speaker：凃俊，新加坡管理大学金融系副教授，2004年获美国华盛顿大学奥林商学院金融博士，其论文已发表在Management Science, Reviewof Financial Studies, Journal ofFinancial Economics, Journal ofFinancial and Quantitative Analysis等国际顶级学术期刊上。
研究领域: 资产定价、投资组合管理、预测、技术分析、行为金融、金融分析等
ResearchAreas:
Empirical Asset Pricing, Portfolio Management,Forecasting, Technical Analysis, Behavioral Finance, Bayesian FinancialAnalysis, etc.
Abstract:
The equitypremium forecasting literature has extensively examined the predictability of fundamentaleconomic variables and nonfundamental variables, such as time-series momentum.In this paper, we find that the predictability of fundamental economicvariables is significant (insignificant) during low (high) market sentimentperiods. In contrast, the predictability of non-traditional variables issignificant (insignificant) during high (low) market sentiment periods. Ourfindings suggest that the economic variables do have strong predicting power aslong as the market sentiment is not too high to distort the fundamental linkbetween economic variables and equity premium too much. As about 80% (20%)times can be classified as low (high) sentiment periods in our framework, ourresults indicate that economic variables could be a more prevalent force thannon-fundamental variables in terms of predicting equity premium.
