主题： Economic Uncertainty and Predictability（经济的不确定性及可预测性）
主讲人：Federico M. Bandi，约翰霍普金斯大学凯瑞商德州扑克大小
经济与金融学教授
日期：2016年4月27日（周三）
时间：下午2:30-4:00
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 introduce a
new stylized fact: the hump-shaped behavior of slopes and coefficients of determination
as a function of the aggregation horizon when running (forward/backward)
predictive regressions of future excess market returns onto past economic uncertainty. To justify this finding
formally, we propose a novel framework in which predictability is a property of
low-frequency components of both excess market returns and economic
uncertainty. We show that predictability on these low-frequency components
(i.e., scale-specific predictability)
translates theoretically into hump-shaped patterns of slopes and coefficients
of determination upon forward/backward regressions on the raw series. If past
long-run uncertainty predicts future long-run returns, it also has to predict
future long-run dividend growth. We report that it does so strongly.
主讲人简介:
Federico M. Bandi holds the Professor in Economics and
Finance at the Carey Business School, Johns Hopkins University. Previously,
Professor Bandi spent ten years in the Booth School of Business, University of
Chicago. He received a Ph.D. in Economics from the Yale University in 1999.
Professor Bandi’s research interests include the financial econometrics, asset
pricing, and market microstructure. He has articles published in the Journal of Econometrics, the Journal of Business
and Economic Statistics, the Journal of Financial Economics, and the Review of Economic
Studies, among others. Professor Bandi is also an editor of the Journal of Financial Econometrics, and Econometrisc Journal.
