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北航经商院 • 经济学双周论坛 第十三期

发布时间: 2018/06/06 14:26:19     点击次数:次   打印本页

尊敬的各位老师: 

 

你们好!                    

 

“北航经商院 • 经济学双周论坛”将在本周迎来第十三期讨论,具体安排如下: 

 

时间:本周五(6月8日)中午12:00-14:00 

 

地点:新主楼A1138。 

 

在此诚挚邀请您参与讨论和分享! 

 

题目:       平均偏度重要

 

Title:      Average Skewness Matters

 

主讲人:   张群姿

 

Presenter: Qunzi Zhang

 

摘要 (Abstract):

 

我们发现月度的公司平均偏度可以有效地预测股票市场风险溢价。实证结果表明,在控制了公司市值,流动性和经济周期等变量的影响之后,该结论依然成立。我们还发现偏度与其他现有文献中的经济、金融预测变量相比表现更好。同时,我们还考量了两种基于样本外预测的资产投资策略,一种策略基于预测回归模型,另一种策略基于预测变量的正负情况。在这两种投资方式中,平均偏度都表现优异。

 

Average skewness, which is defined as the average of monthly skewness values across firms, performs well at predicting future market returns. This result still holds after controlling for the size or liquidity of the firms or for current business cycle conditions. We also find that average skewness compares favorably with other economic and financial predictors of subsequent market returns. We consider two out-of-sample allocation exercises, one based on predictive regressions and the other based on the sign of the variable. In both cases, average skewness generates superior performance.

 

主讲人简介 (Introduction):

 

张群姿任山东大学金融学讲师,瑞士金融研究院(Swiss Finance Institute)和瑞士洛桑大学金融学博士,研究领域为实证资产定价,论文发表于国际知名期刊Journal of Futures Market,并主持多项省部级课题。

 

Qunzi Zhang is an assistant professor of Finance at Shandong University, where she teaches courses for bachelor, graduate and MBA students. She obtained her Ph.D. in Finance from Swiss Finance Institute and University of Lausanne. She conducts research in the area of empirical asset pricing, with a special focus on return non-normality and return predictability. Her paper has been published in Journal of Futures Market. She also presides over many provincial and ministerial research projects.

 

 

 

*  具体详情,也可扫描下方微信二维码

 

 


 

经济与商学研究院

 

2018年6月6日