应数学与统计学院邀请，国际著名的金融优化专家、加拿大Dalhousie大学Yonggan Zhao教授将于2015年10月15日访问我院，并做如下学术讲座。
    题    目：Testing the Capital Asset Pricing Model under Economic Regime Shifts
    时    间：2015年10月15日，10:10—11:30
    地    点：理科楼202
    讲座内容：Assuming asset returns over time are dependent on economic regimes characterized by a hidden Markov chain and embedded in economic indicators, this paper develops a stochastic model for asset returns to test the traditional capital asset pricing model. Both the equilibrium market risk premium and the security's systematic risk are postulated to be asymmetric by regime. We use a synthetic index consisting of the U.S. equity market,the bond market,the currency market,and the commodity market, as a proxy of the “market portfolio”for testing the dynamic capital asset pricing model. The selected economic indicators include the Consumer's Confidence Index, the Industrial Production, the ISM Purchasing Managers Index, the Conference Board Leading Economic Indicators Index, the Yield Spread, and the Credit Spread. As a result, the inferred dynamics of regimes is around 91% coincident with the NBER classification of economic strength for the monthly data from January 1980 to February 2015. Being active for more than 30 years among the listed stocks on the NYSE and NASDAQ exchanges, 226 stocks are selected to test the proposed dynamic capital asset pricing model. We find strong evidence for asymmetric securities systematic risk such that the conditional beta in the contraction regime is significantly greater than that in the expansion regime. We also find that security's beta is significant greater with the regime switching model than with a single regime model. Finally, we use a sector rotation investment strategy to show the superiority of the established dynamic asset pricing model to the traditional capital pricing model in predicting stock returns.
 

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