主讲人/Speaker：Professor Jun Tu(凃俊)，Singapore Management University

时间/Date &Time：2020年11月25日（周三），2:00pm-4:15pm

地点/Venue：4556银河国际线路测试汇星楼（科技楼）五楼，南特商学院会议室

线上会议/Online meeting：腾讯会议，会议号936 139 247

交流语言/Language：英语English

第51期

时间/Date &Time：2020年11月25日（周三）,2:00pm-3:00pm

主题/Title：Investor Sentiment Measures Purged: A Necessary Double Check on Sentiment Impact

内容简介/ Abstract：

  The investor sentiment measures based on market variables underperform those sentiment measures extracted from investor surveys in various applications. By purging the fundamental component out of the market-variable-based sentiment measures thoroughly, we propose a largely contamination-free sentiment measure, which no longer underperforms survey-based measures. Generally, the issue of contamination caused by fundamentals can be a hidden risk for market-variable-based measures, which may cause failures in detecting sentiment impact and misinterpreting risk-based results with behavioral stories. Overall, a double check using the contamination-free measure could be important and necessary.


第52期

时间/Date &Time：2020年11月25日（周三）,3:15pm-4:15pm

主题/Title：Keynes Meets Merton: Examining Risk and Return Relation Basedon Fundamentals

内容简介/ Abstract：

  The documented weak and even negative risk-return relation can be due to the nonfundamental forces against rational assumptions. More accurate measures for expected return have been proposed as remedies to address this discrepancy. Nevertheless, those remedies have mixed results since they do not control for the non?fundamentals. We control for the impact of non-fundamentals via estimating expected return based on fundamentals and obtain a positive risk-return relation. Moreover, upon controlling for the non-fundamental component, those remedies on the weak or negative risk-return relation become more robust.

主讲人介绍/Biography of the speaker：

  凃俊教授现任职新加坡管理大学李光前商学院金融学终身职副教授，博士生导师。研究领域涉及行为金融,金融科技，文本分析和机器学习，金融计量，资产定价，投资者情绪,媒体和资本市场，资产回报预测,投资组合管理，公司金融等。凃俊教授的研究获得多个研究奖项，包括金融研究评论(Review of Financial Studies) 2015—2016年度最高阅读次数奖和最高被引论文奖，Lee Foundation Fellowship for Research Excellence, Sing Lun Fellowship, Pacific Basin Finance Journal Prize (First Prize),和华盛顿大学研究奖学金。凃俊教授已在顶级国际学术期刊上发表多篇学术论文，包括金融学杂志(Journal of Finance),金融经济学杂志（Journal of Financial Economics）,金融研究评论(Review of Financial Studies),财务定量分析杂志(Journal of Financial and Quantitative Analysis),和管理科学(Management Science)。凃俊教授兼任Journal of Economic Dynamics and Control副主编及Emerging Markets Finance and Trade（SSCI）副主编等职务。


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