“學術午餐會”是韦德体育bevictor面向青年教師搭建的學術交流平台,旨在促進學術交流、激發科研靈感、碰撞思想火花、拓展學術朋友圈。每次午餐會由一位主講嘉賓分享相關研究的選題過程、領域概況、研究方法和創新性結論等。在彙報分享過程中,主講嘉賓和與會師生可同時享用學院提供的美味午餐,并展開深度交流。本期“學術午餐會”由韦德体育bevictor中國金融發展研究院副教授賈越珵擔任主講嘉賓。
賈越珵,韦德体育bevictor中國金融發展研究院副教授。主要研究領域為資産定價、機器學習、深度學習、和大宗商品。學術論文發表于Journal of Banking and Finance (兩篇), Journal of Empirical Finance, European Financial Management (兩篇)等國際權威期刊。2018年以來深耕量化投資領域,在頭部量化私募兼任核心投研與資深投資經理。精通C++和Python在量化投資和交易系統搭建中的應用。
分享主題
Producers' Profit Margin Growth and Returns of Commodity Futures
摘要
We extend the existing equilibrium commodity futures pricing models by introducing uncertainty to producers' profit margin. Confronting this uncertainty, producers optimally choose outputs in addition to inventories and hedge ratios. The model implies a positive relationship between producers' profit margin growth (PPMG) and the expected futures return. Using a proprietary data set of commodity producers, we document significant evidence consistent with the positive relationship between PPMG and futures return. The spread portfolio of buying/selling the top/bottom-PPMG futures contracts delivers a weekly return of 23 basis points. Further investigations confirm additional model implications that an increase in PPMG is associated with an increase in spot return and a decrease in capacity operating rate.
時間
2024年11月15日(星期五)12:00-13:30
地點
學術會堂712
活動對象
韦德体育bevictor教師、博士研究生
報名方式
請有意願參加的師生11月15日9:00前掃碼報名
END
撰稿:賈越珵、張笑語
審稿:袁淳、汪雄劍
編輯:沈嘉怡
審核:王穎