金融系学术讲座（一）
题 目：A Sentiment-Based Explanation of the Forward Premium Puzzle
主讲人：余剑锋 博士
University of Minnesota 助理教授
Abstract：This paper presents a sentiment-based explanation of the forward premium puzzle. Agents over or underestimate the growth rate of the economy. When domestic investor sentiment is higher than foreign sentiment, the interest rate at home is higher than the foreign interest rate. At the same time, when agents prefer earlier resolution of uncertainty, the home currency is expected to appreciate due to the mean reversion in investor sentiment. The model can therefore account for the forward premium puzzle. This paper also empirically compares the sentiment-based explanation with explanations based on habit formation and long-run risk. The evidence provides strong support for a sentiment-based explanation. The surplus ratio predicts changes in exchange rates, but not with the sign implied by the model, and consumption volatility has very weak power to predict returns on foreign exchange. By contrast, investor sentiment has significant power to predict both changes in exchange rates and returns on foreign exchange (relative to the U.S. dollar) across 19 industrial countries. In addition, forecasts of exchange rates based on sentiment easily beat random walk forecasts, with a smaller mean square error for 18 out of 19 industrial countries at a 6-month horizon.
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1524449
主持人：王一鸣 教授
时间：
2010年8月31日下午
2:30-4:00
地址：8797威尼斯老品牌大楼302会议室
金融系学术讲座（二）
题 目：The Long and the Short of Asset Prices: Using Long Run
Consumption-Return Correlations to Test Asset Pricing Models
主讲人：余剑锋 博士
University of Minnesota 助理教授
Abstract：This paper examines a new set of implications of existing asset pricing models for the correlation between returns and consumption growth over the short and the long run. The findings suggest that external habit formation models face a challenge in producing two robust facts in aggregate data, namely, that stock market returns lead consumption growth, and that the correlation between returns and consumption growth is higher at low frequencies than it is at high frequencies. To reconcile these facts with a consumption-based model, I show that one needs to focus on models that contain a "forward looking" consumption component, i.e., models that allow for both trend and cyclical uctuations in consumption, and that link expected returns to the cyclical uctuations in consumption. The models by Bansal and Yaron (2004) and Garleanu, Panageas, and Yu (2009) provide examples of such models.
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1359241
主持人：王一鸣 教授
时 间：
2010年9月1日上午
9:30-11:00
地 址：8797威尼斯老品牌大楼302会议室
