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康奈尔大学金融学教授Andrew Karolyi:国际股票收益的规模、价值和势头

时间: 2014-07-07 14:04 来源: 作者: 浏览量:2877 字号: 打印

主题:Size, Value, and Momentum in International Stock Returns: A New Partial- Segmentation Approach(国际股票收益的规模、价值和势头:一种新的部分分割方法)

主讲人:Andrew Karolyi康奈尔大学S.C.约翰逊管理研究生学院金融学教授

日期:201477日(周一)

时间:下午1:00-2:30

地点:清华五道口金融学院4号楼101教室

语言:英文

摘要:

We propose a new multi-factor model for global stock returns that includes size, value, and momentum factor s but that builds them separately as “global”  factors comprised of all stocks around the world and as  “local” factors comprised of locally-accessible stocks for a given country  or region.  This “partial-segmentation” approach is evaluated using monthly returns  for over 37,000 stocks from 46  countries over  20  years  and  for  a  wide  variety  of  test  assets.  The  model  not  only  captures  strong  common variation  in  stock returns,  but also  achieves  low  pricing  errors and rejection rates  relative to  purely global and purely local models.

主讲人简介:

Professor Andrew Karolyi is an internationally-known scholar in the area of investment management, with a specialization in the study of international financial markets. He has published extensively in journals in finance and economics, including the Journal of Finance, Journal of Financial Economics and Review of Financial Studies, and has published several books and monographs.

Karolyi received his BA (Honors) in economics from McGill University in 1983 and worked at the Bank of Canada for several years in its research department. He subsequently earned his MBA and PhD degrees in finance at the Graduate School of Business of the University of Chicago. He joined Johnson in 2009, after teaching for 19 years at the Fisher College of Business of The Ohio State University. Karolyi currently serves as editor of the Review of Financial Studies, and also an associate editor for a variety of journals, including the Journal of Financial Economics, Journal of Empirical Finance, Journal of Banking and Finance, Review of Finance and the Pacific Basin Finance Journal.