主 题：A Unified Duration-Based Explanation of the Value, Profitability, and Investment Anomalies
时 间：2019年12月5日（周四）15:00-16:30
地 点：浙江大学玉泉校区经济学院236会议室
主讲人：李 涛 香港城市大学教授
主持人：骆兴国 浙江大学经济学院副教授
主办方：浙江大学工程师学院互联网金融分院
浙江大学经济学院
协办方：浙江大学资产管理研究中心
浙江大学金融研究院
主讲人简介：
李涛，香港城市大学教授，先后毕业于复旦大学和华盛顿大学圣路易斯分校，分别获物理学学士学位和金融学博士学位。李涛教授的研究主要集中在资产定价、金融衍生品、利率期限结构、信用风险等领域，目前在Econometrica, Review of Financial Studies, Management Science，Journal of Financial and Quantitative Analysis，Journal of Economic Dynamics & Control等顶级金融经济领域期刊上发表了多篇论文。担任Journal of Finance、Management Science等期刊的匿名审稿人。
Abstract:
Two duration factors, motivated by the downward-sloping term structure of equity returns, explain the value, profitability, and investment premiums well. One duration-factor captures the spread of returns between short and long duration, and the other duration-factor predicts the short-term returns caused by abnormal duration transitions. A four-factor model with the two duration-factors, market, and size explain many related anomalies comparable to some leading factor-models. Our study shows that these three and many related anomalies can admit a unified risk-based interpretation.