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学术讲座:World Rare Disaster Concerns and Stock Returns

金融学院SBF论坛第31讲

 

讲座题目:World Rare Disaster Concerns and Stock Returns

时间:2019年11月7日,周四,12:20 – 13:30

地点:博学楼918

主讲人:张群姿

主讲人简介:张群姿,山东大学经济学院金融系教授,博士生导师,齐鲁青年学者。论文发表于Journal of Financial Economics,Journal of Futures Markets,Journal of Portfolio Management等国际期刊。

讲座内容简介: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.