主 题：Term structure of recession probabilities and the cross section of asset returns
时 间：2018 年 4 月 13 日（周五）10:00—12:00
地 点：浙江大学玉泉校区外经贸楼236会议室
主讲人：周倜 南方科技大学金融学助理教授
主持人：许奇
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
主讲人简介：
周倜博士现任南方科技大学金融系助理教授，于2016年博士毕业于香港科技大学。其研究方向为实证资产定价，衍生品定价和风险管理，相关的工作论文在美国金融协会年会，欧洲金融协会年会，和中国国际金融年会等会议上宣讲过。
Abstract:
The duration of business cycles changes over time, generating time-varying investor concern about recessions. I study a macro-factor model that directly links assets' risk premia to such concern, measured by the term structure of recession probabilities from professional forecasters. The innovation to the slope of the term structure is negatively priced in a wide range of test assets with sizable risk premia, consistent with how the slope predicts long-horizon economic activity and labor income growth. A recession risk model with market and the innovation to the slope explains more than half of the cross-sectional variation of average excess returns on size, book-to-market, and asset growth sorted portfolios. The factor mimicking portfolio of the model helps reconcile the joint cross section of equities, index options and currencies, and have pricing performance comparable to several multi-factor benchmarks. My evidence suggests that the slope of the term structure is a recession state variable (Cochrane, 2005, Chapter 9.3), and an economic source of risk premia on assets considered can be attributed to time-varying concern over future recessions that is priced.
