彩神8app在线登录新金融论坛

彩神8app在线登录新金融论坛第41期

日期:2019-12-05阅读:10

主  题:A Unified Duration-Based Explanation of the Value, Profitability, and Investment Anomalies

时  间:2019年12月5日(周四)15:00-16:30

地  点:彩神8app在线登录玉泉校区经济学院236会议室
主讲人:李  涛   香港城市大学教授

主持人:骆兴国   彩神8app在线登录经济学院副教授

主办方:彩神8app在线登录工程师学院互联网金融分院

 彩神8app在线登录经济学院

协办方:彩神8app在线登录资产管理研究中心

 彩神8app在线登录金融研究院

主讲人简介:

    李涛,香港城市大学教授,先后毕业于复旦大学和华盛顿大学圣路易斯分校,分别获物理学学士学位和金融学博士学位。李涛教授的研究主要集中在资产定价、金融衍生品、利率期限结构、信用风险等领域,目前在Econometrica, Review of Financial Studies, Management Science,Journal of Financial and Quantitative Analysis,Journal of Economic Dynamics & Control等顶级金融经济领域期刊上发表了多篇论文。担任Journal of Finance、Management Science等期刊的匿名审稿人。

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Abstract:

        Two duration factors, motivated by the downward-sloping term structure of equity returns, explain the value, profitability, and investment premiums well. One duration-factor captures the spread of returns between short and long duration, and the other duration-factor predicts the short-term returns caused by abnormal duration transitions. A four-factor model with the two duration-factors, market, and size explain many related anomalies comparable to some leading factor-models. Our study shows that these three and many related anomalies can admit a unified risk-based interpretation.