新加坡管理大学储丽娅博士讲座

发布者:商学院办公室     时间:2018-05-07

讲座题目:Investor sentiment and paradigm shifts in equity premium forecasting

讲座人:Dr. Liya Chu, Singapore Management University

讲座时间:2018年5月9日(周三)上午10:00-11:15

讲座地点:商学院新大楼318会议室

邀请部门:金融学系、金融工程研究所

 

论文摘要:

Applying Baker and Wurgler's investor sentiment index as a switch, we find that fundamental economic variables forecast the equity premium well when sentiment is low while lose their predictive power when sentiment is high. In contrast, non-fundamental variables predict the equity premium well when sentiment is high but not when it is low. We further show that out framework of paradigm shifts in equity premium forecasting between fundamental and non-fundamental predictors shed some lights on the recent debate about the limited power of both fundamental and non-fundamental variables to forecast the equity premium.

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