“大金融学科学术研究沙龙”第85期 

(Released in:2016-11-11 )

主讲人:埃克塞特大学商学院金融系主任  Abhay Abhyankar教授

主持人:金融学院 张翔副教授

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:

Abhyankar教授,曾任职于杜伦大学,爱丁堡大学,华威大学(Warrick)及斯特林大学,访问过巴塞罗那自治大学经济学院,担任过印度行政局委员,同时任职于印度Masters Pharma的执行董事会.

Abhyankar教授曾在Journal of Financial and Quantitative Analysis (JFQA), Journal of Banking and Finance (JBF)等国外顶尖金融杂志发表多篇论文.

 

主题一:THE IMPACT OF STOCK LIQUIDITY ON IDIOSYNCRATIC VOLATILITY: EVIDENCE FROM DECIMALIZATION

时间:1116日(星期三)上午9:30-11:00

内容提要:

A number of theoretical models suggest that stock liquidity and idiosyncratic volatility should be negatively related such models are also supported by empirical analysis. In this paper, we extend earlier finding and examine the causal effect of stock liquidity on idiosyncratic volatility. Using the exogenous event of decimalization that occurred in the U.S. equity markets at the beginning of the 2001 as an instrumental variable, we show that increases in liquidity lead to lower idiosyncratic volatility. We also support earlier studies that show that idiosyncratic volatility and liquidity are negatively correlated, and that the reduction in the tick size in the three major U.S. equity markets that occurred as a result of decimalization has improved liquidity.

 

主题二:Empirical Asset Pricing I

时间:1117日(星期四)下午15:00-16:30

内容提要:

引论与背景介绍、阐述随机贴现因子、资产定价模型的计量检验综述、现值模型、可预测性、习惯模型、长期风险模型

 

主题三:Empirical Asset Pricing II

时间:1118日(星期五)上午9:30-11:00

内容提要:

实证金融、时间序列回归、横截面回归、时变动态横截面回归