主題：Predictability Puzzles（可預測性難題）

主講人：Bjorn Eraker，威斯康星大學麥迪遜分校金融學教授

時間：9月23日（周三）上午10:00-11:30

地點：4-101教室

語言：英文

 

摘要：Dynamic equilibrium models based on present value computation imply that returns are predictable, suggesting that time-series that predict returns could be priced risk factors. Equilibrium models however, imply that returns from risk-based state-variables are predictable in the short, but not the long-run. The variables that have been shown empirically to predict returns typically do so at medium or long horizons, and never at short horizons. This contradicts the equilibrium interpretation. I develop econometric tests aimed at testing whether predictive variables show term structures of predictability that is consistent with equilibrium. Empirically, I find that the variables in question are either not significant predictors, or the predictability fails to be consistent with equilibrium.

 

主講人簡介：

Bjorn Eraker is Professor of Finance, Bill Nygren Chair in Investments at the Wisconsin School of Business. He got his Ph.D. in Economics from Graduate School of Business at University of Chicago in 2001. Before joining Wisconsin, he teaches in Department of Economist at Duke. His works appear at top Finance Journals, such as Journal of Finance, Review of Financial Studies and Journal of Financial Economics.