時間：2024年3月27日，周三，10:00-11:30
講座論文題目：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.
劉昕
，現
任中國人民大學财政金融學院副教授。他在清華大學取得學士學位，在香港大學取得博士學位。在加入中國人民大學之前，他曾在英國巴斯大學管理學院任教。他的研究領域包含實證資産定價、機構投資者和行為金融學。他的學術成果已發表在
Management Science, Review of Finance, Journal of Corporate Finance, Journal of Financial Markets, Journal of Empirical Finance
等國際期刊上。他的研究成果曾獲得
FMA Annual Meeting
最佳論文獎。
講座地址：韦德体育bevictor（學院南路校區）
北京市海澱區學院南路39号
