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杨昊晰| 第200期双周学术论坛:Growth Stocks Are More Risky: New Evidence on Cross-Sectional Stock Returns

作者:     日期:2017-06-01    来源:

  一、主题:Growth Stocks Are More Risky: New Evidence on Cross-Sectional Stock Returns

  二、主讲人:杨昊晰,南开大学助理教授。毕业于意大利博科尼商业大学,获得金融学博士学位。她的研究领域包括资产定价、宏观金融和金融计量。学术研究成果曾发表在IMF Economic Review,并曾受邀在国内外多所院校及国际学术会议报告工作论文。

  三、时间:2017年6月7日(周三),12:30-13:30

  四、地点:学院南路校区主教学楼910会议室

  五、主持人:陈锐,中央财经大学金融学院讲师

  文章摘要:The conventional wisdom argues that the growth stocks are more risky to earn higher premium. However the empirical evidence points out that the value stocks, which are classified based on the Book-to-Market ratio, tend to have higher premium. To solve for this tension, this paper proposes a novel but simple transformation of the Book-to-Market ratio, the intensity of Book-to-Market ratio to captures the dynamics of growth options. Our results show the intensity of Book-to-Market ratio has a strong negative relation with future cross-sectional stock returns even after controlling for main return predictors including Book-to-Market ratio. Therefore, consistent with conventional wisdom, our results confirm that growth stocks tend to earn higher expected premium and more risky than value stocks.