學術講座：World Rare Disaster Concerns and Stock Returns

金融學院SBF論壇第31講

講座題目：World Rare Disaster Concerns and Stock Returns

時間：2019年11月7日，周四，12:20 – 13:30

地點：博學樓918

主講人：張群姿

主講人簡介：張群姿，山東大學經(jīng)濟學院金融系教授，博士生導師，齊魯青年學者。論文發(fā)表于Journal of Financial Economics，Journal of Futures Markets，Journal of Portfolio Management等國際期刊。

講座內(nèi)容簡介：We propose an ex-ante rare disaster index relying on the six news implied rare disaster measures of Manela and Moreira (2017). The new index can strongly predict, in-sample and out-of-sample, international stock returns (including both developed and emerging markets) and deliver sizable economic value for investors. The predictive power of the index is above and beyond traditional predictors such as the dividend yield and interest rates. This evidence is consistent with economic theories emphasizing globally shared rare disaster risk and time-varying disaster risk as an important driving force of asset price fluctuations.