主题：Dividend Dynamics,
Learning, and Expected Stock Index Returns（股息动态、学习与期望股票指数收益）
主讲人：Ravi Jagannathan, 西北大学凯洛格商德州扑克大小
John F. Sandner金融学讲席教授
日期：2018年10月17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：
We present a latent variable model of dividends that
predicts, out-of-sample, 39.5% to 41.3% of the variation in annual dividend
growth rates between 1975 and 2016. Further, when learning about dividend
dynamics is incorporated into a long-run risks model, the model predicts,
out-of-sample, 25.3% to 27.1% of the variation in annual stock index returns
over the same time horizon, with learning contributing approximately half of
the predictability in returns. These findings support the view that investors'
aversion to long-run risks and their learning about these risks are important in
determining stock index prices and expected returns.
主讲人简介:
Dr.
Ravi Jagannathan is the Chicago Mercantile Exchange/John F. Sandner Professor
of Finance at Northwestern University's Kellogg
School of Management and Co-Director of the Financial Institutions and Markets
Research Center at the Kellogg School (1997 - present). He has previously held
positions as Piper Jaffray Professor of Finance (1993 - 1997) and Associate
Professor of Finance (1989 - 1993) at the University of Minnesota's Carlson
School of Management, Assistant Professor of finance at Northwestern University's
Kellogg School (1983 - 1989), and as a Distinguished Visiting Professor at the
Hong Kong University of Science and Technology (1994 - 1995), and has
appointments as Special Terms professor at Shanghai Advanced Institute of
Finance, Shanghai Jiao Tong University (2012+) and the Indian School of
Business (2012-2014) and the Area Leader for Finance, Economics, and Public
Policy at the Indian School of Business (2014 - 2018).
Ravi received a
Ph.D. in Financial Economics (1983) and an M.S. in Financial Economics (1981)
from Carnegie Mellon University, an M.B.A. from the Indian Institute of
Management at Ahmedabad (1972), and a B.E. in Mechanical Engineering from the
University of Madras (1970). His Ph.D dissertation received the Alexander
Henderson award for excellence in economics.
