题 目：Keynes Meets Merton: Examining Risk and Return Relation Based on Fundamentals
地 点：浙江大学玉泉校区经济学院236室
时 间：7月12日（周三）下午14:00
主讲人：涂俊 教授
主办方：浙江大学经济学院
浙江大学工程师学院互联网金融分院
协办方: 浙江大学金融研究院
浙江大学应用经济研究中心
凃俊教授，新加坡管理大学李光前商学院金融学终身职副教授、博士生导师。2004年凃俊获华盛顿大学金融学博士学位，并于同年加入新加坡管理大学李光前商学院。他的研究领域涉及实证资产定价、投资组合管理、资产回报预测、行为金融、文本分析和机器学习、媒体和投资者情绪、公司金融、金融计量、贝叶斯金融分析、国际金融、对冲基金技术分析和波动率建模，获得多个研究奖项，包括 Lee Foundation Fellowship for Research Excellence, Sing Lun Fellowship, Pacific Basin Finance Journal Prize (First Prize)和华盛顿大学研究奖学金。凃俊教授已经在顶级国际学术期刊上发表多篇学术论文，包括金融经济学杂志、金融研究评论、财务定量分析杂志和管理科学学报。他的研究成果还被顶尖的业界期刊转载，如 The CFA Digest、花旗银行和 UBS 的学术研究文摘。他兼任亚洲资产证券化管理研究中心主任 (2012-2014)、沈基文金融经济学研究所研究员 (2010-2014)、 Emerging Markets Finance and Trade（SSCI）副主编 (2013 -) 等职务。
Abstract:
Numerous studies have examined the risk-return relation, which should be theoretically positive while is often documented to be weak and even negative empirically. Although tremendous efforts have been made to fix this puzzle via various angles (e.g., allowing for time-varying risk-return trade-off, using less noisy measures for risk and/or return), we show that many of them are quite sensitive or fragile. We argue that the theoretically positive risk and return relation might have been weakened or even reversed empirically by non-fundamental forces, which could be one key reason for the mixed and inconclusive empirical results. Therefore, we examine the risk-return relation conditioning on fundamentals only. Now the impact of non-fundamental forces has been largely controlled and a positive risk and return relation can be restored.
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