财务与金融系学术讲座系列2020年第5讲

主 题：基本面因素溢价

主讲人: 李学楠（长江商学院副教授）

协调人: 高晓丹

时 间：2020-10-23 10:00

地 点：Zoom 会议室

语 言：英文

Zoom 会议室

https://zoom.com.cn/j/62032642531?pwd=cXJOd0h3T1BIMGloV3h1cmc5Rll6dz09

会议 ID：620 3264 2531

密码：314245

讲座摘要：

This paper quantifies to what extent factor premiums in stock market are driven by firm fundamentals. We estimate the parameters of a 2-capital q-model (Congalves, Xue and Zhang, 2019) by matching the entire time series of stock returns at firm level using Bayesian Markov Chain Monte Carlo (MCMC), instead of matching the average anomaly returns as prior studies (Liu, Whited and Zhang, 2009; Congalves, Xue and Zhang, 2019) do. Our paper resolves the critique of the prior studies that the parameter values of the model are chosen to fit a specific set of anomalies and different values are required for different anomalies. Because factor premiums are not the moment conditions of our estimation, our methodology provides a true test on the capability of the q-theory in explaining anomalies. We show that the model is able to generate sizable premiums for Momentum, ROE, Asset growth, New share issuance, Investment, ROA, gross profitability, Size, R&D, and Advertising premiums. However, the model is unable to generate Value and Accrual premiums. 

主讲人简介：

Erica Xuenan Li is Associate Professor of Finance at Cheung Kong Graduate School of Business. She received her PhD in Finance from University of Rochester and PhD in Physics from University of Massachusetts, Amherst. Her research interest is theoretical corporate finance and asset pricing and the macro-finance. Her work has been published in leading academic journals including Journal of Financial Economics, Review of Financial Studies, Journal of Monetary Economics, and Management Science. Before joining CKGSB, Professor Li was Assistant Professor at the Ross school of business of University of Michigan at Ann Arbor.