學(xué)術(shù)信息
學(xué)術(shù)講座：Market Sentiment and Paradigm Shifts in Equity Premium Forecasting
日期：2016-11-30 | 訪問量：
學(xué)術(shù)講座：Market Sentiment and Paradigm Shifts in Equity Premium Forecasting
題目：Market Sentiment and Paradigm Shifts in Equity Premium Forecasting
演講人：凃俊
時(shí)間：12月8日下午2點(diǎn)
地點(diǎn)：博學(xué)925
演講人簡介：
凃俊教授于2004年獲得華盛頓大學(xué)金融學(xué)博士學(xué)位，并于同年加入新加坡管理大學(xué)李光前商學(xué)院.現(xiàn)任職新加坡管理大學(xué)李光前商學(xué)院金融學(xué)終身職副教授。研究領(lǐng)域涉及實(shí)證資產(chǎn)定價(jià)，投資組合管理，資產(chǎn)回報(bào)預(yù)測, 行為金融, 文本分析等。凃俊教授已經(jīng)在頂級國際學(xué)術(shù)期刊上發(fā)表多篇學(xué)術(shù)論文，包括Journal of Financial Economics, Review of Financial Studies, Journal of Financial Quantitative Analysis, Management Science等并獲得多個(gè)研究獎(jiǎng)項(xiàng)。他的研究成果還被The CFA Digest 和花旗銀行學(xué)術(shù)研究文摘等頂尖的業(yè)界期刊轉(zhuǎn)載。
Abstract:
There is a recent debate and even a doubt about whether fundamental economic variables can predict equity premium or not. Some remedies seem working well and help in restoring the confidence on predictability. However, we show that those remedies are fragile and irrelevant in some sense. The predictability is gone again, even with those remedies utilized, once market sentiment kicks in to distort the fundamental link between economic variables and equity premium. In contrast, without using any remedies, economic variables still show predicting power as long as sentiment stays low to not distort the link. In addition, we show that many non-fundamental predictors, such as time-series momentum and 52-week high, lose their power when sentiment is low since their power depends on behavioral activities significant only in high sentiment periods. As about 80% (20%) times can be classified as low (high) sentiment periods in our framework, fundamental predictors seem a more prevalent force than non-fundamental predictors in terms of forecasting equity premium. Nevertheless, investors can be better-off by utilizing both type of predictors though need to conduct a paradigm shift between fundamental predictors in low sentiment periods and non-fundamental predictors in high sentiment periods.