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学术报告
学术报告
英国贝尔法斯特女王大学(Queen's University Belfast)李有伟教授报告通知
澳门新葡新京:系统管理员??发布时间:2016-07-15?? 浏览次数:216

应数学系王春程邀请,英国贝尔法斯特女王大学(Queen's University Belfast)李有伟教授将于近日访问数学系并作如下报告:

报告题目:Can Investor Sentiment Be A Momentum Time-Series Predictor? Evidence from China

报告时间:719日上午1000-1100

报告地点:格物楼503

报告摘要:This paper challenges the prevailing view that investor sentiment is a contrarian predictor of market returns at nearly all horizons. By providing an important piece of "out-of-sample" evidence, we document that investor sentiment in China is a reliable momentum predictor for equity returns at monthly frequency. The strong near-term return predictability is robust under both single- and multi-regressor settings, and is statistically and economically significant both in and out of sample, indicating enhanced portfolio performance as shown by our numerical example. More importantly, we document a striking pattern that local sentiment shifts from a momentum predictor in near and intermediate term to a contrarian predictor in the long term. In contrast to local sentiment, global sentiment remains a contrarian predictor over various return horizons, confirming the spillover of sentiment across markets. Further cross-sectional analysis suggests that local sentiment influences more on small-sized stocks than large-sized stocks, while global sentiment has less impact on small stocks, especially in the short run.

李有伟教授概况:英国贝尔法斯特女王大学管理学院教授。1996年毕业于兰州大学数学系获得博士学位,1996-2000年先后在中科院数学研究所做博士后、任中国社科院数量与技术经济学研究所副研究员,2004年在荷兰蒂尔堡大学(Tilburg University)获得金融学博士学位。李有伟教授的研究方向包括:资产定价、金融市场的实证分析、金融市场中的异构主体模型、长寿风险、市场微结构和金融计量等。李有伟在Journal of Economic Dynamics & Control, Journal of Empirical FinanceQuantitative FinanceInsurance: Mathematics and Economics等国际知名杂志发表多篇学术论文。

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