时间:2024年3月27日,周三,10:00-11:30
讲座论文题目:Economic Links from Bonds and Cross-Stock Return Predictability
Identifying firms’ bond-market-specific economic links through credit-rating comovement of their corporate bonds, a long-short strategy for stocks based on these links generates a risk-adjusted alpha of 0.45% per month, which cannot be explained by existing economic links in the literature. Market segmentation between the equity and bond markets appears to be the underlying mechanism: (i) The cross-return predictability is muted in the bond market; (ii) The cross-return predictability is mitigated in the presence of cross-holding investors; (iii) Equity analysts slowly incorporate information from rating-comovement links to their forecasts.
刘昕
,现
任中国人民大学财政金融学院副教授。他在清华大学取得学士学位,在香港大学取得博士学位。在加入中国人民大学之前,他曾在英国巴斯大学管理学院任教。他的研究领域包含实证资产定价、机构投资者和行为金融学。他的学术成果已发表在
Management Science, Review of Finance, Journal of Corporate Finance, Journal of Financial Markets, Journal of Empirical Finance
等国际期刊上。他的研究成果曾获得
FMA Annual Meeting
最佳论文奖。
讲座地址:中央财经大学(学院南路校区)
北京市海淀区学院南路39号