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主讲人 |
王彧 |
简介 |
<p><span lang="EN-US" style="font-size: 10.5pt; font-family: "Calibri",sans-serif; mso-bidi-font-size: 11.0pt; mso-ascii-theme-font: minor-latin; mso-fareast-theme-font: minor-fareast; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: "Times New Roman"; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: ZH-CN; mso-bidi-language: AR-SA; mso-fareast-font-family: 宋体">Abstract</span><span style="font-size: 10.5pt; font-family: 宋体; mso-bidi-font-size: 11.0pt; mso-ascii-font-family: Calibri; mso-ascii-theme-font: minor-latin; mso-fareast-theme-font: minor-fareast; mso-hansi-font-family: Calibri; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: "Times New Roman"; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: ZH-CN; mso-bidi-language: AR-SA">：</span><span lang="EN-US" style="font-size: 10.5pt; font-family: "Times New Roman",serif; mso-fareast-theme-font: minor-fareast; mso-ansi-language: EN-US; mso-fareast-language: ZH-CN; mso-bidi-language: AR-SA; mso-fareast-font-family: 宋体">The historical crashes of the Chinese stock market in 2007-2008 and 2015-2016 provide a good proving ground for testing the performance of the Fama-French models in different market trends. By employing daily returns, we find that the Fama-French models explain equity returns quite well in our sample. More importantly, this over-performance seems to appear when the market is in a crash than in a soaring or fluctuating market. This finding is confirmed by the results of time-series regressions, GRS F-tests, Fama-MacBeth regressions, and other metrics. However, Hansen’s (1992) instability tests suggest that the Fama-French model is hardly constant over time and tends to present a higher level of instability in the crash than in the recovery of the market. We also provide explanations for these seemingly conflicting findings.</span></p> |
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主讲人简介 |
<p><span style="font-size: 10.5pt; font-family: 宋体; mso-bidi-font-size: 11.0pt; mso-ascii-font-family: Calibri; mso-ascii-theme-font: minor-latin; mso-fareast-theme-font: minor-fareast; mso-hansi-font-family: Calibri; mso-hansi-theme-font: minor-latin; mso-bidi-font-family: "Times New Roman"; mso-bidi-theme-font: minor-bidi; mso-ansi-language: EN-US; mso-fareast-language: ZH-CN; mso-bidi-language: AR-SA">经济学博士，厦门大学经济学院金融系助理教授。主要研究方向：资产定价、金融计量、行为金融。</span></p> |
期数 |
WISE-SOE双周青年论坛2019春季学期第四讲（总第86讲） |
