光華講壇——社會(huì)名流與企業(yè)家論壇第6598期

主題：Excess Volatility in Professional Stock Return Forecasts 專業(yè)股票收益預(yù)測中的超額波動(dòng)率

主講人：加州大學(xué)圣地亞哥分校雷迪管理學(xué)院 Rossen Valkanov教授

主持人：西南財(cái)經(jīng)大學(xué)金融研究院 劉俊教授

時(shí)間：7月5日 10:00-11:30

舉辦地點(diǎn)：光華校區(qū)35棟金融研究院202會(huì)議室

主辦單位：金融研究院 國際交流與合作處 科研處

主講人簡介：

Rossen Valkanov是加州大學(xué)圣地亞哥分校雷迪管理學(xué)院管理學(xué)教授和金融學(xué)教授，也是新的金融碩士項(xiàng)目的首任聯(lián)合主任。他在普林斯頓大學(xué)獲得了經(jīng)濟(jì)學(xué)博士學(xué)位。他的主要研究領(lǐng)域是實(shí)證金融、金融計(jì)量經(jīng)濟(jì)學(xué)、金融預(yù)測、風(fēng)險(xiǎn)管理、投資組合配置和房地產(chǎn)。Valkanov教授撰寫了大量文章和書籍章節(jié)。他的研究成果已發(fā)表在一些最負(fù)盛名的期刊上，例如Journal of Finance，Journal of Financial Economics和 Review of Financial Studies。基于他的研究的經(jīng)驗(yàn)方法和大數(shù)據(jù)應(yīng)用——例如混合數(shù)據(jù)抽樣回歸 (MIDAS)、參數(shù)投資組合方法和預(yù)測程序——受到了金融行業(yè)從業(yè)者的極大興趣。他目前是Journal of Empirical Finance的編輯。Valkanov 教授曾在加州大學(xué)洛杉磯分校、加州大學(xué)伯克利分校、普林斯頓大學(xué)以及其他機(jī)構(gòu)任教。他是一位屢獲殊榮的教育家，并定期在加州大學(xué)圣地亞哥分校教授金融碩士、MBA、和 EMBA 課程。他是許多專業(yè)組織的成員，包括美國金融協(xié)會(huì)、美國經(jīng)濟(jì)學(xué)會(huì)、計(jì)量經(jīng)濟(jì)學(xué)會(huì)和美國房地產(chǎn)與城市經(jīng)濟(jì)學(xué)協(xié)會(huì)。

Rossen Valkanov is the Zable Endowed Chair in Management and Professor of Finance at the Rady School of Management, the University of California, San Diego, and inaugural Co-Director of the new Master’s in Finance program. He received his Ph.D. in Economics from Princeton University. His main research interests are in the areas of empirical finance, financial econometrics, financial forecasting, risk management, portfolio allocation, and real estate. Professor Valkanov has authored numerous articles and book chapters. His research has been published in some of the most prestigious peer-reviewed journals such as the Journal of Finance, Journal of Financial Economics, and Review of Financial Studies. Empirical methods and big data applications based on his research—such as Mixed Data Sampling Regressions (MIDAS), parametric portfolio approaches, and forecasting procedures—have received significant interest from the finance industry practitioners. He is currently Editor of the Journal of Empirical Finance. Professor Valkanov has taught at UCLA, UC Berkeley, Princeton, and various other institutions in the US and abroad. He is an award winning educator and teaches regularly in the Masters of Finance, MBA, and Executive MBA programs at UCSD. He is a member of many professional organizations, including the American Finance Association, the American Economic Association, the Econometric Society, and the American Real Estate and Urban Economics Association.

內(nèi)容簡介：

共識(shí)專業(yè)股票收益預(yù)測的波動(dòng)性是非專業(yè)人士和計(jì)量經(jīng)濟(jì)學(xué)家的三倍。這種 "超額 "波動(dòng)性主要源于專業(yè)人士對宏觀沖擊的強(qiáng)烈反周期反應(yīng)，這至少占了預(yù)測差異總變化的 50%。我們采用一種新穎的兩階段最小二乘法程序，確定了宏觀沖擊導(dǎo)致的專業(yè)預(yù)測中的貼現(xiàn)率變化，并表明這種變化在定性和定量上與事后實(shí)現(xiàn)的收益和理性資產(chǎn)定價(jià)模型的含義相一致。我們的結(jié)論是，專業(yè)人士善于評估貼現(xiàn)率沖擊的影響，而且遠(yuǎn)遠(yuǎn)早于（宏觀經(jīng)濟(jì)）增長所受的總體影響。因此，我們對預(yù)期形成過程的模型提出了質(zhì)疑，該模型應(yīng)考慮到不同預(yù)測者之間的異質(zhì)性以及被預(yù)測變量的異質(zhì)性。

Consensus professional stock return forecasts are three times more volatile than those of non-professionals and econometricians. This “excess” volatility primarily stems from professionals' strong countercyclical response to macro shocks, which account for at least 50\% of total variation in forecast-differences. Employing a novel two-stage least squares procedure, we identify the discount rate variation in professional forecasts due to macro shocks and show this variation aligns qualitatively and quantitatively with ex post realized returns and implications of rational asset pricing models. We conclude that professionals adeptly evaluate the impact of discount rate shocks and well before the total impact on (macroeconomic) growth is materialized. Thus, we challenge models of the expectation formation process, which should account for heterogeneity across forecasters as well as the variable being forecasted.