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2018/3月 28

【金融高端论坛】第八十九期

【金融高端论坛】第八十九期
开始时间:2018-03-28 10:00
活动地点:明德主楼509室
联 系 人:冯建彪
联系方式:8610-82509260
状态: 已结束

【本期主题】Trade Networks and Asset Pricing: Evidence from the Sovereign CDS Market

We exploit the information in sovereign CDS prices and the international trade network to reveal novel facts about the propagation of shocks in the global macroeconomy. We show that country fundamentals depend on both direct and indirect links in the trade network. Recognizing these links reveals novel variation in average return for the crosssection of country-level equity and credit. Specifically, a portfolio that goes long sovereign CDS with the largest increase in export destinations’ credit risk and sells short sovereign CDS with the largest decrease generates an average return of nearly 6% per year with a Sharpe ratio of 1.1. This transmission of value-relevant information across countries is even slower for indirect trade links.

【报告人】Christopher Polk   伦敦政治经济学院教授

报告人简介

Christopher Polk教授现任伦敦政治经济学院金融系主任、Journal of Finance副主编,从事的研究领域及方向为资产定价、公司金融、对冲基金、宏观经济学。曾在Nature、Journal of Finance、Nature、Review of Financial Studies等顶级期刊上发表过十多篇。其中2014年发表在Journal of Finance的文章“ Connected Stocks ”获得Journal of Finance的Smith-Breeden prize最佳论文奖提名。

诚邀您参加。如果您有兴趣,请于3月28日前回复邮件rucfinanceforum@gmail.com或电话联系,我们将为您预留座位。

联系人:冯建彪   82509260。

 

 

 

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