“大金融学科学术研究沙龙”第82期 

(Released in:2016-09-23 )

主题:Market Sentiment and Paradigm Shifts in Equity Premium Forecasting

主讲人:新加坡管理大学  涂俊副教授

主持人:金融学院 张一林博士

时间:923日(星期五)下午14:00-15:30

地点:格致楼317会议室

主办单位:金融学院、科研处

主讲人简介:

涂俊教授现任新加坡管理大学李光前商学院金融学终身职副教授,研究涉及实证资产定价、投资组合管理、资产回报预测、行为金融、媒体和投资者情绪、公司金融、金融计量等领域,相关成果表发于Journal of Financial EconomicsReview of Financial StudiesJournal of Financial and Quantitative AnalysisManagement Science等国际期刊。涂俊教授还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 TradeSSCI)副主编等职务。

内容提要:

The equity premium forecasting literature has extensively examined the predictability of fundamental economic variables and non-fundamental variables, such as time-series momentum. In this paper, we find that the predictability of fundamental economic variables is significant (insignificant) during low (high) market sentiment periods. In contrast, the predictability of non-traditional variables is significant (insignificant) during high (low) market sentiment periods. Our findings suggest that the economic variables do have strong predicting power as long as the market sentiment is not too high to distort the fundamental link between economic variables and equity premium too much. As about 80% (20%) times can be classified as low (high) sentiment periods in our framework, our results indicate that economic variables could be a more prevalent force than non-fundamental variables in terms of predicting equity premium.