时间:2018年9月18日(周二)13:45
地点:史带楼503室
主持人:Ph.D. Na ZHANG Department of Finance, School of Management, Fudan University
主题:Currency Carry, Momentum and US Monetary Policy Uncertainty
演讲者:Ph.D. Ming Zeng Singapore Management University
摘要:Returns to currency carry and momentum strategies are compensations for the risk of US monetary policy uncertainty (MPU), with risk exposures explaining 96% of their cross-sectional return variations. The findings are consistent with an intermediary-based exchange rate model. Higher MPU triggers position unwinding by the intermediary, which decreases the returns of currency with high interest rate or appreciation, while that with low interest rate or depreciation earns positive returns. Different responses stem from the long and short behavior of the intermediary. The explanatory power of US MPU risk is robust and unrelated to commonly used risk factors.
简介:Zeng Ming obtained his Ph.D. in Economics from Singapore Management University in 2018. His research interests include the Empirical Asset Pricing, Financial Economics, International Finance, and Applied Econometrics. His papers have been presented in many academic conferences and institutions including the FMA Annual meeting, EEA-ESEM, Econometric Society meetings, Wolfe Research Global Quantitative and Macro Investment Conference, Conference on Frontiers of Factor Investing, Annual Conference of International Association for Applied Econometrics, Birkbeck College, University of London, University of Macau, Peking University HSBC Business School, and Singapore Management University. Prior to his doctoral study, he obtained the master's degree in Financial Engineering from ESSEC Business School in Paris.
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2018-9-13
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