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【7月5日】I-Hsuan Ethan Chiang|第286期皇冠88网址教院单周教术论坛暨龙马奋进系列讲座

宣布掀晓日期:2019-07-03  里击数:

皇冠88网址主题:A “Bad Beta, Good Beta” Anatomy of Currency Risk Premiums and Trading Strategies

主讲人:I-Hsuan Ethan Chiang,北卡罗莱纳除夜教夏洛特分校皇冠88网址教副传授。2009年获波士顿除夜教经济教专士教位。2008年开端任教于北卡夏洛特除夜教,2017年得到终逝世皇冠88网址教副传授。他的主要钻研战教教标的目标为资产定价、证券投资办理、坚固支益证券与皇冠88网址计量等圆里,有多篇论文掀晓正正在皇冠88网址抢先的经济教战办理教教术期刊上,包罗Journal of Finance、Journal of Banking & Finance、Journal of Empirical Finance、Review of Asset Pricing Studies、Managerial Finance。

工妇:2019年7月5日(周五),中午12:30-13:30

地点: 中心皇冠88网址除夜教沙河校区主教教楼302

掌管人:魏旭,中心皇冠88网址除夜教皇冠88网址教院副传授

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.

[编辑]:孙颖

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