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第二百一十五期财务与会计学术论坛

发布者:xieying   发布时间:2016-06-21 17:22:29   浏览数: 次   [ 返回 ]



时间:201676(周三)15:00-1630

 

地点:嘉庚二号楼501教室

 

题目:Prospective book-to-market ratio and expected stock returns

 

报告人Yuzhao Zhang, Assistant Professor of Finance, Rutgers, The State University of New Jersey

 

主持人:George Wu, Assistant Professor of Finance, Xiamen University

 

论文简介:

 

We propose a novel stock return predictor, the \prospective book-to-market", as the present value of expected future demeaned book-to-market ratios. We find that the aggregate prospective book-to-market ratio can significantly predict stock market return, with adjusted R-squared between 5.0% and 5.8% out-of-sample. In addition, a high-minus-low investment strategy based on prospective book-to-market ratio generates significant monthly alpha ranging from 13.4 to 20.8 basis points across various factor models, and the return spread is also shown to be non-redundant as an alternative value factor in pricing cross-section of stock returns.

 

报告人简介

 

Yuzhao Zhang earned his PhD in Finance from University of California Los Angeles, USA. He has published papers in journals such as Journal of Law and Economics, and Journal of Banking and Finance.