【本期主题】Market Sentiment and Paradigm Shifts in Equity Premium Forecasting

Recently, there is a debate and even doubt about whether fundamental economic variables can predict equity premium.Some remedies seem working well and help restoring the confidence on predictability.However,  we show that those remedies are fragile. The predictability is gone again, even with those remedies utilized, once market sentiment kicks in to distort the fundamental link between economic variables and equity premium.In contrast, without using any remedies, economic variables still show predicting power as long as sentiment stays  low to not distort the link. In addition,  we show that many famous non-fundamental predictors, such as 52-week high,lose their power when sentiment is low. Since their power depends on behaviorial activities  significant only in high sentiment periods. As about 80% (20%) times can be classified as low (high) sentiment periods in our framework, economic variables could be a more prevalent force than non-fundamental variables in terms of predicting equity premium.Finally,  investors can be better-off by conducting paradigm shifts between  fundamental predictors in low sentiment periods and  non-fundamental predictors in high sentiment periods.

【报告人】  凃俊         新加坡管理大学前商学院金融学教授

【时   间】11月04日 上午10:00

【地   点】明德主楼0509室

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报告人简介：

凃俊教授于2004 年获得华盛顿大学金融学博士学位，并于同年加入新加坡管理大学李光前商学院。研究领域涉及实证资产定价，投资组合管理，资产回报预测, 行为金融, 文本分析和机器学习， 媒体和投资者情绪，公司金融，金融计量，贝叶斯金融分析，国际金融, 对冲基金 技术分析和 波动率建模。研究获得多个研究奖项，包括 Lee Foundation Fellowship for Research Excellence, Sing Lun Fellowship, Pacific Basin Finance Journal Prize (First Prize), 和华盛顿大学研究奖学金。已经在顶级国际学术期刊上发表多篇学术论文，包括金融经济学杂志, 金融研究评论, 财务定量分析杂志,和管理科学学报。研究成果还被The CFA Digest和 花旗银行学术研究文摘等顶尖的业界期刊转载。凃俊教授兼任亚洲资产证券化管理研究中心主任 (2012-2014)，沈基文金融经济学研究所研究员 (2010-2014)，Emerging Markets Finance and Trade（SSCI）副主编 (2013 -) 等职务。最近开始研究中国金融问题 (证券, 人民币，及房地产等)，发表了数篇有 影响力的论文。

中国人民大学金融高端论坛组委会

汉青经济与金融高级研究院金融系

商学院财务与金融系

财政金融学院应用金融系