发布者:xieying 发布时间：2016-06-21 17:22:29 浏览数： 次 [ 返回 ]
报告人：Yuzhao Zhang, Assistant Professor of Finance, Rutgers, The
主持人：George Wu, Assistant Professor of Finance,
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.
Yuzhao Zhang earned his PhD in Finance from