时间:2016年12月13日(周二)10:30-12:00
地点:北大国发院/中国经济研究中心小教室
主持人:余淼杰 余昌华 王歆
主讲人:李学楠 (Erica X.N. Li, 长江商学院)
题目:The CAPM Strikes Back? An Investment Model with Disasters
摘要:Value stocks are more exposed to disaster risk than growth stocks. Embedding disasters into an investment model induces strong nonlinearity in the pricing kernel. Our single-factor model reproduces the failure of the CAPM in explaining the value premium in finite samples in which disasters are not materialized, and its relative success in samples in which disasters are materialized. Due to measurement errors in pre-ranking market betas, the relation between these estimated betas and average returns is flat in simulations, consistent with the beta ``anomaly,'' even though the relation between true betas and expected returns is strongly positive. Evidence in the long U.S. sample from 1926 to 2014 supports the model's key predictions.
主讲人简介:
李学楠,长江商学院金融学副教授。2008年于Univeristy of Rochester获得金融学博士学位。2007年-2011年担任University of Michigan金融学助理教授。2012年起任教于长江商学院。主要研究方向是公司管理、资产结构、资产定价和宏观经济学等。论文发表于Review of Financial Studies, Journal of Monetary Economics, Management Science等顶尖期刊。
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