财务金融系系列讲座之236期

时　间：2018年12月25日（周二）13:30

地　点：史带楼503室

主持人：Ph.D. Na ZHANG　 Department of Finance, School of Management, Fudan University

主　题：Real Time Macro Factors in Bond Risk Premium

演讲者：Phd. Guoshi Tong  Assistant professor of Finance, Renmin University

摘　要：The notion that bond risk premium varies with business cycles is challenged once real time macro data are used. We argue that the macro PCA factors are designed to explain the most variation of macro variables not the variation of bond risk premium, and propose a scaled PCA (sPCA) approach that incorporates bond risk premium information when extracting factors. The sPCA factors significantly forecast bond returns in an out-of-sample, and generate sizeable utility gains. The sPCA factors also strongly nowcast macro data revision and forecast future macroeconomic conditions. Consistent with theory, the forecasted bond risk premium is counter-cyclical.

简　介：Guoshi Tong is currently an assistant professor of finance at Renmin University, Hanqing Advanced Institute. Dr Tong obtained his Bachelor degree in Mathematics from Fudan University in 2006 and subsequently got his Master and PhD degree in mathematics and financial economics both from University of British Columbia.  Before joining Renmin University, he was an economist at the domestic debt management division of Bank of Canada. His research area is empirical asset pricing and has published in journals such as "International Review of Finance" and "Accounting and Finance". He has taught master level courses in financial market, financial analytics, venture capital and private equity. He is also a recipient of excellent new faculty teaching award at Renmin University and  2018 Wharton Research Data Service best paper award.

财务金融系

2018-12-19