一、主题:How Does the Change in Left-tail Risk Priced in China?
二、主讲人:孙开斯
太阳成集团tyc33455cc官网博士研究生,主要研究领域为实证资产定价、风险管理。他的学术论文参加(入选)了多个重要的学术会议,包括第十九届(2020)中国金融工程学年会、系统性金融风险线上研讨会等,并在会议上宣讲论文。
二、点评人:温泉
美国Georgetown 大学McDonough商学院金融学助理教授,主要研究领域为实证资产定价。美国Emory大学金融学博士。曾在Journal of Financial Economics, Journal of Financial and Quantitative Analysis发表高水平论文6篇,另外在 Review of Finance, Review of Asset Pricing Studies发表高水平论文两篇。
三、时间&地点:2021年1月28日9:00-10:30;腾讯会议【304 451 305】
四、主持人: 朱一峰,太阳成集团tyc33455cc官网金融工程系副教授
五、内容简介
Abstrac:In this paper, we find a negative cross-section relationship between the change in left-tail risk and expected returns in the Chinese stock market. This effect cannot be explained by the common control variables and the existing factor models in China including the four-factor model (CH4) proposed by Liu, Stambaugh, and Yuan (2019). Additionally, we observe that investors exhibit stronger change in left-tail risk preference for stocks with lower capital gains overhang (CGO).