Seminar on International Economics

时间：2016年3月30日（周三）10：30－12：00 am

 

地点：北大国发院/中国经济研究中心512教室

主持人：余淼杰、余昌华

主讲人：Guojun Wang (王国俊) (Tongji University)

题目：Price of Value and Expected Stock Returns

摘要：This paper studies the ratio of an accounting-based firm valuation to its market price. We find this “Price of Value” subsumes the power of book-to-market and many other firm characteristics in predicting the cross-section of average returns even after common factors adjustment, and provides up to 9.5% abnormal return and a natural hedge against momentum. We then construct a Price-Value Divergence factor (PVD) and show evidence that a four-factor model based on Market, SML, Momentum, and PVD is more consistent with ICAPM and improves over alternative factor models according to various model selection criteria.

主讲人简介：Guojun Wang 王国俊博士毕业于加州大学戴维斯分校，并获有中佛罗里达大学和浙江大学双硕士学位以及浙江大学数学学士学位；其主要研究领域为：资产定价、市场有效性、资产管理、卖空限制、日历效应和行为金融学。

 

演讲者的CV请见附件 CV_Guojun Wang 。