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商学院“李达讲坛”【第42期】:Stock Returns under Intermediary Investment

 

主    题:Stock Returns under Intermediary Investment 

主 讲 人:王华茂 博士 英国肯特大学副教授

   间:20196月17日(星期一) 上午 10:00-12:00

  点:商学院314报告厅

主讲内容: 

       The recent financial crisis highlights the effects of shocks amplified by financial intermediaries under the monetary policy such as low-interest rates. This paper examines these effects on firms' stock returns through a large size macro-finance model. Nonlinear constraints and risk premia are captured by a global solution using a state-of-the-art simulation-projection algorithm. Based on heterogeneous capital quality shocks, both cross-sectional and time-series analyses reveal the novel stock return predictability of firms' shares of intermediaries' capital investment (ICI) and firms' effective capital for marginal production (KMP). The underlying force is that capital shocks and financial frictions reduce credit supply and asset valuations via intermediaries' amplification mechanism. Furthermore, the firm's ICI provides a mechanism to explain the problem of the Fama-French five-factor model.  

主讲人简介:

        王华茂博士毕业于英国利兹大学。现任英国肯特大学商学院量化金融中心副教授。研究量化金融,计算金融,大数据与互联网金融,投资组合,资产定价和公司金融。在European Journal of Operational Research (×3) Quantitative Finance European Journal of FinanceJournal of Mathematical Economics国际知名期刊发表文章。担任以上期刊以及Journal of Banking & FinanceJournal of the Operational Research Society等期刊的评论员。担任国际知名期刊Technological Forecasting and Social Change客座编委。

        Dr Huamao Wang is a Lecturer in Finance at the University of Kent after achieving his PhD degree. He obtained his PhD at the Centre for Advanced Studies in Finance, the University of Leeds, winning the Tom Lupton prize. Dr Wang published papers in journals including European Journal of Operational Research, European Journal of Finance etc. He acted as a referee for European Journal of Operational Research, Journal of Banking & Finance, European Journal of Finance, and Quantitative Finance etc.

 

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