主题：Size, Value, and Momentum in International Stock Returns: A New Partial- Segmentation Approach（国际股票收益的规模、价值和势头：一种新的部分分割方法）
主讲人：Andrew Karolyi，康奈尔大学S.C.约翰逊管理研究生德州扑克大小
金融学教授
日期：2014年7月7日（周一）
时间：下午1:00-2:30
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 propose a new multi-factor model for global stock returns that includes size, value, and momentum factor s but that builds them separately as “global” factors comprised of all stocks around the world and as “local” factors comprised of locally-accessible stocks for a given country or region. This “partial-segmentation” approach is evaluated using monthly returns for over 37,000 stocks from 46 countries over 20 years and for a wide variety of test assets. The model not only captures strong common variation in stock returns, but also achieves low pricing errors and rejection rates relative to purely global and purely local models.
主讲人简介:
Professor Andrew Karolyi is an internationally-known scholar in the area of investment management, with a specialization in the study of international financial markets. He has published extensively in journals in finance and economics, including the Journal of Finance, Journal of Financial Economics and Review of Financial Studies, and has published several books and monographs.
Karolyi received his BA (Honors) in economics from McGill University in 1983 and worked at the Bank of Canada for several years in its research department. He subsequently earned his MBA and PhD degrees in finance at the Graduate School of Business of the University of Chicago. He joined Johnson in 2009, after teaching for 19 years at the Fisher College of Business of The Ohio State University. Karolyi currently serves as editor of the Review of Financial Studies, and also an associate editor for a variety of journals, including the Journal of Financial Economics, Journal of Empirical Finance, Journal of Banking and Finance, Review of Finance and the Pacific Basin Finance Journal.
