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      【7月5日】I-Hsuan Ethan Chiang|第286期金融學院雙周學術論壇暨龍馬奮進系列講座

      [發表時間]:2019-07-03 [來源]:金融學院 [瀏覽次數]:

        主題:A “Bad Beta, Good Beta” Anatomy of Currency Risk Premiums and Trading Strategies
      主講人:I-Hsuan Ethan Chiang,北卡羅萊納大學夏洛特分校金融學副教授。2009年獲波士頓大學經濟學博士學位。2008年開始任教于北卡夏洛特大學,2017年取得終身金融學副教授。他的主要研究和教學方向為資產定價、證券投資管理、固定收益證券與金融計量等方面,有多篇論文發表在國際領先的經濟學和管理學學術期刊上,包括Journal of Finance、Journal of Banking & Finance、Journal of Empirical Finance、Review of Asset Pricing Studies、Managerial Finance。
      地點: 中央財經大學沙河校區主教學樓302


        Abstract:We test a two-beta currency pricing model that features betas with risk-premium news

        and real-rate news of the currency market. Unconditionally, beta with currency market risk-premium news is “bad” because of significantly positive price of risk (2.52% per year); beta with global real-rate news is “good” due to nearly zero or negative price of risk. The price of risk-premium beta risk is counter-cyclical, while the price of the real-rate beta risk is pro-cyclical. Most prevailing currency trading strategies either have excessive “bad beta” or too little “good beta,” failing to deliver abnormal performance. Our empirical results can be delivered by a no-arbitrage model with precautionary savings and a pricing kernel characterized by two separate global shocks.