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宏观经济学Workshop:Aggregate Expected Investment Growth and Stock Market Returns
发布日期：2017-05-16 10:20 来源：北京大学国家发展研究院
时间：2017年5月16日下午13:30-15:30
地点：朗润园万众楼小教室
主持人：霍德明、王敏、赵波、主讲人： Jianfeng Yu
Title: Aggregate Expected Investment Growth and Stock Market Returns
Abstract:
Consistent with neoclassical models with investment lags, we find that a bottom-up measure of aggregate investment plans, namely, aggregate expected investment growth (AEIG), negatively predicts future stock market returns, with an adjusted in-sample R-sqr of 18.3% and an out-of-sample R-sqr of 15.9% at the one-year horizon. The return predictive power is robust after controlling for popular macroeconomic return predictors and in subsample periods. Further analyses suggest that the stock return predictability of AEIG is more likely to be driven by the time-varying risk premium rather than by behavioral biases such as investor sentiment.
Short Bio of the speaker:
Jianfeng Yu is Jianshu Chair Professor of Finance at PBCSF, Tsinghua University. Yu is also a Piper Jaffray Professor in Finance at the Carlson School of Management, University of Minnesota (currently on leave). He conducts both theoretical and empirical research on behavioral finance and macro finance. His research is published in academic journals such as American Economic Review, Journal of Finance, Journal of Financial Economics, Journal of Monetary Economics, Management Science, Review of Economic Dynamics, and Review of Financial Studies. Yu holds a B.Sci. in Probability and Statistics from University of Science and Technology of China, an M.A. in Statistics from Yale University, and a Ph.D. in Finance from the Wharton School of Business, University of Pennsylvania. His research has won various awards including the Smith-Breeden First Prize, Chicago Quantitative Alliance Academic Competition First Prize, Inaugural AQR Insight Award (honorable mention), Crowell Memorial Prize (Third Prize) from PanAgora Asset Management, and the Institute for Quantitative Research in Finance (Q-Group) Research Award.
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首页
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宏观经济学Workshop:Aggregate Expected Investment Growth and Stock Market Returns
发布日期：2017-05-16 10:20 来源：北京大学国家发展研究院
时间：2017年5月16日下午13:30-15:30
地点：朗润园万众楼小教室
主持人：霍德明、王敏、赵波、主讲人： Jianfeng Yu
Title: Aggregate Expected Investment Growth and Stock Market Returns
Abstract:
Consistent with neoclassical models with investment lags, we find that a bottom-up measure of aggregate investment plans, namely, aggregate expected investment growth (AEIG), negatively predicts future stock market returns, with an adjusted in-sample R-sqr of 18.3% and an out-of-sample R-sqr of 15.9% at the one-year horizon. The return predictive power is robust after controlling for popular macroeconomic return predictors and in subsample periods. Further analyses suggest that the stock return predictability of AEIG is more likely to be driven by the time-varying risk premium rather than by behavioral biases such as investor sentiment.
Short Bio of the speaker:
Jianfeng Yu is Jianshu Chair Professor of Finance at PBCSF, Tsinghua University. Yu is also a Piper Jaffray Professor in Finance at the Carlson School of Management, University of Minnesota (currently on leave). He conducts both theoretical and empirical research on behavioral finance and macro finance. His research is published in academic journals such as American Economic Review, Journal of Finance, Journal of Financial Economics, Journal of Monetary Economics, Management Science, Review of Economic Dynamics, and Review of Financial Studies. Yu holds a B.Sci. in Probability and Statistics from University of Science and Technology of China, an M.A. in Statistics from Yale University, and a Ph.D. in Finance from the Wharton School of Business, University of Pennsylvania. His research has won various awards including the Smith-Breeden First Prize, Chicago Quantitative Alliance Academic Competition First Prize, Inaugural AQR Insight Award (honorable mention), Crowell Memorial Prize (Third Prize) from PanAgora Asset Management, and the Institute for Quantitative Research in Finance (Q-Group) Research Award.
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