主题：A Unified Economic Explanation for Profitability Premium and Value Premium （收益性溢价和价值溢价的统一经济学解释）
时间：上午10:00 - 11:30
The co-existence and negative correlation between profitability and value factors in the data challenge existing asset pricing models because high (low) gross profitability firms resemble growth (value) firms. We provide a unified explanation for the negatively correlated gross profitability premium and value premium in a dynamic structural model. We demonstrate that the gross profitability premium is driven by more productive firms having higher exposures to aggregate demand shocks due to the hedging effect from variable costs, whereas the value premium is created by high book-to-market firms having more assets in place relative to growth options in their asset composition and hence lower exposures to aggregate investment shocks. Empirical evidence provides strong support for our proposed explanation.
Dr. Harold H. Zhang is currently Professor of Finance and Finance Area Coordinator at the Jindal School of Management at The University of Texas at Dallas. His research focuses on asset pricing and financial security including optimal investment and portfolio decisions of investors and the pricing of financial assets.
His research addresses issues such as the effect of shareholder taxes on the optimal investment strategies and how to optimal locate and allocate an investor’s savings in the presence of taxable and tax-deferred opportunities, how home ownership influences an investor’s financial asset investments, more recently on how shareholder taxes on investment income affect asset pricing, firms’ cost of capital, how securitization in residential loan market contributed to the recent financial crisis and housing market crash, and how firms’ exposure to risks at different horizons and investment shocks explains widely documented abnormal returns.
Before joining The University of Texas at Dallas, Professor Zhang was a tenured faculty of the Kenan-Flagler Business School at the University of North Carolina at Chapel Hill. He had also been on the faculty of the Graduate School of Industrial Administration at the Carnegie Mellon University.