一、主题：Bond Return Forecasting with Real Time Macroeconomics Data

二、主讲人：姜富伟，中央财经大学金融学院副教授，资产管理研究中心研究员。新加坡管理大学金融学博士，厦门大学金融学硕士。主要研究方向包括行为金融、资产定价、收益预测、市场异象、投资管理等。曾在Journal of Financial Economics, Review of Financial Studies，Journal of International Money and Finance, Journal of Banking and Finance, Journal of Portfolio Management，《金融研究》等重要期刊发表多篇学术论文。曾获得国际财务管理协会CFA最佳论文奖、中国金融评论国际研讨会Emerald优秀论文奖、《金融研究》优秀论文三等奖、全美华人金融协会最佳论文奖等学术奖项。

三、时间：2017年10月25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：黄志刚，中央财经大学金融学院副教授

Abstract: In predicting Treasury bond returns, Ghysels, Horan, and Moench (2017) showed that the real time nature of macroeconomics data renders the forecasting power of their principal components subtle. We propose a simple refinement to the standard principal component method to enhance the predictive ability of real time macroeconomic factors. By accounting for the relevance between individual macro series and future bond returns, our new latent forecasting factor outperforms the historical average benchmark substantially. The associated real time out-of-sample forecasts become both statistically and economically significant and are closely linked to the status of real economy.