主题：A Unified Economic Explanation for Profitability
Premium and Value Premium （收益性溢价和价值溢价的统一经济学解释）
主讲人：张慧冰, 德州大学达拉斯分校金达尔管理德州扑克大小
金融学教授
日期：2018年10月10日（周三）
时间：上午10:00 - 11:30
地点：德州扑克大小
金融德州扑克大小
4号楼101教室
语言：英文
摘要：
The
co-existence and negative correlation between profitability and value factors
in the data challenge existing asset pricing models because high (low) gross
profitability firms resemble growth (value) firms. We provide a unified
explanation for the negatively correlated gross profitability premium and value
premium in a dynamic structural model. We demonstrate that the gross
profitability premium is driven by more productive firms having higher
exposures to aggregate demand shocks due to the hedging effect from variable
costs, whereas the value premium is created by high book-to-market firms having
more assets in place relative to growth options in their asset composition and
hence lower exposures to aggregate investment shocks. Empirical evidence
provides strong support for our proposed explanation.
主讲人简介:
Dr. Harold H. Zhang is
currently Professor of Finance and Finance Area Coordinator at the Jindal
School of Management at The University of Texas at Dallas. His research focuses
on asset pricing and financial security including optimal investment and portfolio
decisions of investors and the pricing of financial assets.
His research addresses
issues such as the effect of shareholder taxes on the optimal investment
strategies and how to optimal locate and allocate an investor’s savings in the
presence of taxable and tax-deferred opportunities, how home ownership
influences an investor’s financial asset investments, more recently on how
shareholder taxes on investment income affect asset pricing, firms’ cost of
capital, how securitization in residential loan market contributed to the
recent financial crisis and housing market crash, and how firms’ exposure to
risks at different horizons and investment shocks explains widely documented
abnormal returns.
Before joining The
University of Texas at Dallas, Professor Zhang was a tenured faculty of the
Kenan-Flagler Business School at the University of North Carolina at Chapel
Hill. He had also been on the faculty of the Graduate School of Industrial
Administration at the Carnegie Mellon University.
