主题：The Economics of
Value Investing（价值投资中的经济学）
主讲人：张橹，俄亥俄州立大学菲舍尔商德州扑克大小
金融学教授
日期：2017年12月11日（周一）
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
investment CAPM provides an economic foundation for Graham and Dodd’s (1934) Security
Analysis, without mispricing. Expected returns vary cross-sectionally, depending
on firms’ investment, expected profitability, and expected investment growth.
Our economic model also offers an appealing alternative to two workhorse accounting
models. Empirically, many anomaly variables are associated with future
investment growth, in the same direction with future returns. An expected
growth factor earns on average 0.56% per month (t = 6.66), and adding it to the
q-factor model improves the model’s performance substantially. In all, value
investing is consistent with efficient markets.
主讲人简介:
Lu
Zhang holds the The John W. Galbreath Chair Professor of Finance at the Ohio
State University. He received a Ph.D. in Finance from the Wharton School,
University of Pennsylvania in 2002. Before Joining Ohio State in 2010, he
taught at Stephen M. Ross School of Business at University of Michigan and
William E. Simon Graduate School of Business Administration at University of
Rochester. Professor Zhang’s research interests include asset pricing,
corporate finance, labor economics, and capital markets research in accounting.
He has articles published in the Journal
of Finance, Journal of Financial Economics, Review of Financial Studies,
Journal of Accounting Research, and Journal
of Political Economy among others.
