时间：2019年6月21日（星期五）10:00-12:00

地点：南校区院系办公楼401室

报告人：王华茂博士 （英国肯特大学商学院副院长）

题目：Stock Returns under Intermediary Investment

主办单位：广东外语外贸大学金融学院

内容介绍：

The recent financial crisis highlights the effects of shocks amplified by financial intermediaries under the monetary policy such as low interest rates. This paper examines these effects on firms' stock returns through a large size macro-finance model. Nonlinear constraints and risk premia are captured by a global solution using a state-of-the-art simulation-projection algorithm. Based on heterogeneous capital quality shocks, both cross-sectional and time-series analyses reveal the novel stock return predictability of firms' shares of intermediaries' capital investment (ICI) and firms' effective capital for marginal production (KMP). The underlying force is that capital shocks and financial frictions reduce credit supply and asset valuations via intermediaries' amplification mechanism. Furthermore, the firm's ICI provides a mechanism to explain the problem of Fama-French five-factor model.

报告人简介：

王华茂博士，博士毕业于英国利兹大学。担任英国肯特大学商学院副院长，研究生主任，国际合作与招生代表，量化金融中心副教授。研究量化金融，计算金融，大数据与互联网金融，投资组合，资产定价和公司金融。在European Journal of Operational Research， Quantitative Finance， European Journal of Finance，Journal of Mathematical Economics发表文章。担任以上期刊以及Journal of Banking & Finance，Journal of the Operational Research Society等期刊的评论员。担任国际知名期刊Technological Forecasting and Social Change特约编委。