9.16/9.18德勤－复旦会计论坛系列讲座之六十三-六十四

9.16德勤－复旦会计论坛系列讲座之六十三

时间：2014年9月16日（周二）下午13：30

地点：史带楼303室

主持人: 吕长江 教授

演讲嘉宾： X. Frank Zhang  (Yale University)

Title：The Remarkable Multidimensionality in the Cross-Section of Expected U.S. Stock Returns

嘉宾简介：http://som.yale.edu/x-frank-zhang

Abstract： 20+ years after Fama & French (1992), we re-measure the dimensionality of the cross-section of expected U.S. monthly stock returns in light of the large number of return predictive signals (RPS) that have been identified by business academics over the past 40 years. Using 100 readily programmed RPS, we find that a remarkable 24 are multidimensionally priced as defined by their mean coefficients having an absolute t-statistic ≥ 3.0 in Fama-MacBeth regressions where all RPS are simultaneously projected onto 1-month ahead returns during 1980-2012. We confirm the high degree of dimensionality in returns using factor analysis of RPS, factor analysis of long/short RPS hedge returns, LASSO regression, regressions of portfolio returns on RPS factor returns, and out-of-sample RPS hedge portfolio returns. We put forward a new empirically determined 10-RPS model of expected returns for consideration by researchers and practitioners. We also discuss other implications of our findings, chief of which is the need for research that explains why stock returns are so multidimensional and why the most empirically important RPS are priced the way they are.

9.18德勤－复旦会计论坛系列讲座之六十四

时间：2014年9月18日（周四）下午13：30

地点：史带楼303室

点评人:  X. Frank Zhang  (Yale University)

演讲嘉宾：张 新  博士

Topic：GDP Management to Meet or Beat Growth Targets

会计学系

2014-9-11