主题：Systemic Default and Return Predictability in the Stock and Bond Markets（股票和债券市场中的系统性违约和回报可预测性）
主讲人：张少君，香港大学金融学助理教授
日期：2015年12月2日（周三）
时间：下午2:30-3:30
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：
Using a structural model of default, we construct a measure of systemic default defined as the probability that many firms default at the same time. Our estimation accounts for correlations in defaults between firms through common exposures to shocks. The systemic default measure spikes during recession periods and is strongly correlated with traditional credit-based macroeconomic measures such as the default spread. Furthermore, our measure predicts future equity and corporate bond index returns, particularly at the one-year horizon, and even after controlling for many traditional return predictors such as the dividend yield, default spread, inflation, and tail risk. These predictability results are robust to out-of-sample tests.
主讲人简介：
Shaojun Zhang is an assistant professor of finance at School of Economics and Finance, University of Hong Kong. She received her Ph.D. in Finance from New York University, and she also holds a B.A. in Finance from Peking University. Zhang teaches Derivatives and Foundations of Finance for undergraduate students. Her primary research focuses on asset pricing, macro finance and international finance.
