学术讲座：Market Sentiment and Paradigm Shifts in Equity Premium Forecasting
日期：2016-11-30 | 访问量：
学术讲座：Market Sentiment and Paradigm Shifts in Equity Premium Forecasting
题目：Market Sentiment and Paradigm Shifts in Equity Premium Forecasting
演讲人：凃俊
时间：12月8日下午2点
地点：博学925
演讲人简介：
凃俊教授于2004年获得华盛顿大学金融学博士学位，并于同年加入新加坡管理大学李光前商学院.现任职新加坡管理大学李光前商学院金融学终身职副教授。研究领域涉及实证资产定价，投资组合管理，资产回报预测, 行为金融, 文本分析等。凃俊教授已经在顶级国际学术期刊上发表多篇学术论文，包括Journal of Financial Economics, Review of Financial Studies, Journal of Financial Quantitative Analysis, Management Science等并获得多个研究奖项。他的研究成果还被The CFA Digest 和花旗银行学术研究文摘等顶尖的业界期刊转载。
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.