學術講座：Aggregate Expected Investment Growth and Stock Market Returns
日期：2017-05-23 | 訪問量：
學術講座：Aggregate Expected Investment Growth and Stock Market Returns
學術講座：Aggregate Expected Investment Growth and Stock Market Returns 時間：5月26日 16:00-17:30 地點：博學樓925 講座簡介: Consistent with neoclassical models with investment lags, we find that a bottom-up measure of aggregate investment plans, namely, aggregate expected investment growth (AEIG), negatively predicts future stock market returns, with an adjusted in-sample R-sqr of 18.3% and an out-of-sample R-sqr of 15.9% at the one-year horizon. The return predictive power is robust after controlling for popular macroeconomic return predictors and in subsample periods. Further analyses suggest that the stock return predictability of AEIG is more likely to be driven by the time-varying risk premium rather than by behavioral biases such as investor sentiment. 主講人介紹: 余劍峰教授，清華大學五道口金融學院建樹講席教授。加入五道口之前是明尼蘇達大學卡爾森管理學院Piper Jaffray講席教授、終身教授。余教授獲得中國科技大學概率統(tǒng)計學學士、耶魯大學統(tǒng)計學碩士和賓夕法尼亞大學沃頓商學院金融學博士。他主要從事行為金融和宏觀金融的理論和實證研究。他在American Economic Review、Journal of Finance、Journal of Financial Economics、Review of Financial Studies 、Journal of Monetary Economics、Management Science、Review of Economic Dynamics等國際著名期刊發(fā)表高水平論文十余篇。他的研究成果曾獲得多項獎項，包括 Smith-Breeden一等獎、Q-Group研究獎、TCFA最佳論文獎、AQR投資研究獎、PanAgora資產(chǎn)管理公司Crowell Memorial Prize三等獎、Chicago Quantitative Alliance (CQA) 學術優(yōu)勝三等獎、RWC Marshall Blume Prize提名獎等。