学术前沿讲座－Tests of the Capital Asset Pricing Model with Economic Regime Shifts

报告题目

Tests of the Capital Asset Pricing Model with Economic Regime Shifts

报告人（单位）

Yonggan Zhao (赵永淦) (Dalhousie University, Canada)

点评人（单位）

刘晓星教授

（东南大学）

点评人（单位）

董斌副教授

（东南大学）

时间地点

时间：2015 年5月25日（周一）下午4点

地点：九龙湖经管楼B-201

报告内容摘要

报告内容：

This research develops and tests a dynamic version of the Capital Asset Pricing Model (CAPM) with economic regime shifts. Assuming the equilibrium securities returns are characterized by the representative economic indicators, we also test the hypotheses that securities risk premiums are significantly positive in the expansion regimes and negative in the contraction regimes, and that the securities betas are significantly greater in the contraction regimes than in the expansion regimes. An innovation of this research is the synthesis of the market portfolio for the CAPM to hold, under the criterion of maximizing the efficiency of the asset pricing model. Finally, we use a sector rotation investment strategy to show the superiority of the established dynamic capital asset pricing model to the traditional capital pricing model in predicting stock returns.

报告人简介：

     赵永淦博士，加拿大风险管理研究讲席教授，现任职于加拿大大尔豪斯大学商学院金融系。自2000年12 月毕业于加拿大不列颠大学商学院之后，曾任职于新加坡南洋理工大学, 美国普林斯顿大学的客座研究员，西安交大和南京审计学院的特聘教授。主要研究方向有投资组合，金融衍生产品定价与设计，金融风险管理。在金融学，经济学，和管理科学等领域里发表论文三十余篇。曾多次主持加拿大国家自然科学基金和社会科学基金项目。研究成果曾获得加拿大金融年会最佳论文奖, 并为多个对冲基金和投资机构的投资顾问。他是 Journal of Economic and Administrative Sciences, Journal of Management Mathematics, and Quantitative Finance Letters现任副主编. 他也是现任的加拿大拿省华人协会主席。