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学术讲座:Aggregate Expected Investment Growth and Stock Market Returns

 

学术讲座:Aggregate Expected Investment Growth and Stock Market Returns
时间:526 16:00-17:30
地点:博学楼925
讲座简介:
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.
主讲人介绍:
余剑峰教授,清华大学五道口金融学院建树讲席教授。加入五道口之前是明尼苏达大学卡尔森管理学院Piper Jaffray讲席教授、终身教授。余教授获得中国科技大学概率统计学学士、耶鲁大学统计学硕士和宾夕法尼亚大学沃顿商学院金融学博士。他主要从事行为金融和宏观金融的理论和实证研究。他在American Economic ReviewJournal of FinanceJournal of Financial EconomicsReview of Financial Studies Journal of Monetary EconomicsManagement ScienceReview of Economic Dynamics等国际著名期刊发表高水平论文十余篇。他的研究成果曾获得多项奖项,包括 Smith-Breeden一等奖、Q-Group研究奖、TCFA最佳论文奖、AQR投资研究奖、PanAgora资产管理公司Crowell Memorial Prize三等奖、Chicago Quantitative Alliance (CQA) 学术优胜三等奖、RWC Marshall Blume Prize提名奖等。