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155th biweekly academic forum

作者:     日期:2015-11-23    来源:

1、Topic: Aggregate Default and Return Predictability
2、Lecturer: Zhang Shaojun, associate professor in Hong Kong University, who was awarded bachelor of economics in Peking University in 2009 and PhD of Finance in New York University in 2014. Dr. Zhang’s research field includes asset pricing, international finance, macro-finance and computing finance.
3、Time: November 24th, 2015(Tuesday), 12:30-13:30
4、Place: Main Building Room 913, CUFE.
5、Host: Gou Qin, Lecturer of School of Finance, Central University of Economics and Finance

Abstract: Using a structural model of default, we construct a measure of aggregate default defined as the probability that many firms default at the same time.  Our estimation accounts for correlations in defaults between firms through common exposures to market factors.  The aggregate default measure spikes during recession periods and is strongly correlated with traditional credit-based macroeconomic measures such as the default spread.  Furthermore, our measure predicts future equity and corporate bond index returns, particularly at the one year horizon, and even after controlling for many traditional return predictors such as the dividend yield, default spread, inflation, and the Kelly and Jiang (2014) measure of tail risk.  These predictability results are robust to out-of-sample tests.