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    【7月5日】I-Hsuan Ethan Chiang|第286期金融学院双周学术论坛暨龙马奋进系列讲座

    [发表时间]:2019-07-03 [来源]:金融学院 [浏览次数]:

      主题:A “Bad Beta, Good Beta” Anatomy of Currency Risk Premiums and Trading Strategies
    主讲人:I-Hsuan Ethan Chiang,北卡罗莱纳大学夏洛特分校金融学副教授。2009年获波士顿大学经济学博士学位。2008年开始任教于北卡夏洛特大学,2017年取得终身金融学副教授。他的主要研究和教学方向为资产定价、证券投资管理、固定收益证券与金融计量等方面,有多篇论文发表在国际领先的经济学和管理学学术期刊上,包括Journal of Finance、Journal of Banking & Finance、Journal of Empirical Finance、Review of Asset Pricing Studies、Managerial Finance。
    地点: 中央财经大学沙河校区主教学楼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.


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