明尼苏达大学余剑锋学术讲座通知

演讲题目： An Empirical Assessment of Models of the Value Premium

 

演讲人：余剑锋

 

演讲时间： 2011年 8月 9日 （周二）14:00-15:30

 

演讲地点：博学楼925

 

演讲人简介：余剑锋，宾夕法尼亚大学沃顿商学院金融学博士，明尼苏达大学卡尔森管理学院金融学助理教授，已经在Journal of Financial Economics, Journal of Finance等国际顶级期刊发表论文多篇。

 

Abstract：This paper inspects leading explanations of the value premium, especially those based on structural models. Recent models of the value premium typically endogenously link B/M to firm-specific attributes. The value firms then earn higher subsequent returns because these firms command a higher risk premium due to a higher default probability, lower profitability, higher operating leverage, shorter cash flow duration, or higher cash flow risk. Using several moderators, we first sort the entire sample into several groups of firms, across which the value premium varies significantly. We find that among the groups in which the value premium is tiny and insignificant, there is indeed a significant desired relation between B/M and firm-specific attributes. In sharp contrast, among the groups in which the value premium is the most pronounced, there is no significant desired relation between B/M and firm-specific attributes. Moreover, in many cases, these relations are even opposite to the predictions of these theories. Given the above findings, we further explore potential sources for the value premium. Overall, we conclude that our understanding of the value premium is still very limited.

 

 

主办：华人博彩策略论坛 应用金融研究中心

华人博彩策略论坛 资本市场跨院虚拟研究平台

华人博彩策略论坛 金融学院

 

协办：华人博彩策略论坛 资本市场创新团队

华人博彩策略论坛 国际经济贸易学院

华人博彩策略论坛 国际商学院

 

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