欢乐升级玩法攻略 腾讯qq欢乐升级拖拉机 欢乐升级腾讯棋牌 腾讯欢乐升级2014 欢乐升级怎么和微信好友玩 欢乐升级老版本手机版下载地址 欢乐升级官方网站 qq欢乐升级辅助 欢乐升级副牌能抠底吗 欢乐升级怎么添加好友 欢乐升级有外挂吗 腾讯欢乐升级旧版本 欢乐升级得分牌 欢乐升级赢话费领取 腾讯欢乐升级游戏

您现在的位置: 首页 → 校园信息 → 报告讲座

【1月3日】【CEMA研讨会2018秋季第十六讲】 Betting Against Beta versus Betting Against Correlation: What Is the Difference?

[发表时间]:2019-01-02 [来源]:中国经济与管理研究院 [浏?#26469;?#25968;]:

  论文题目:Betting Against Beta versus Betting Against Correlation: What Is the Difference?

  报告人:韩兴(新西兰奥塔哥大学商学院助理教授)

  论文摘要:We provide a decomposition framework to understand the difference between the betting against beta (BAB) strategy and the betting against correlation (BAC) strategy. The superior performance of BAB is driven by the market timing component, while the outperformance of BAC stems mainly from the cross-sectional components. However, contrary to the reasoning of a low-risk anomaly, low-correlation stocks are of small and illiquid firms with high volatility. Moreover, the BAC factor is fully subsumed by its betting against size (BAS) counterpart at each volatility quintile, signalling a size story. Therefore, BAC represents more of a high-risk investment strategy that is consistent with the implications of the funding liquidity theory. We then reconcile the seemingly contradictory fact that BAC is immune from investor sentiment while the low-correlation effect is a size story. Finally, we explore the portfolio implications of the decomposed market timing component.

  时间:1月3日(周四)中午12:10-13:30

  地点:学院南路校区学术会堂712

  报告人简介:韩兴,新西兰奥塔哥大学商学院助理教授,注册金融分析师。2015年毕业于比利时根特大学,获经济学博士学位;研究领域为资产定价,行为金融和市场微观结构等,并在Journal of Empirical Finance, Energy Economics等期刊上发表论文。

  主办:中国经济与管理研究院


[编辑]:张萌

单机欢乐升级游戏
欢乐升级玩法攻略 腾讯qq欢乐升级拖拉机 欢乐升级腾讯棋牌 腾讯欢乐升级2014 欢乐升级怎么和微信好友玩 欢乐升级老版本手机版下载地址 欢乐升级官方网站 qq欢乐升级辅助 欢乐升级副牌能抠底吗 欢乐升级怎么添加好友 欢乐升级有外挂吗 腾讯欢乐升级旧版本 欢乐升级得分牌 欢乐升级赢话费领取 腾讯欢乐升级游戏
街机象棋老虎机 快船vs雄鹿 北京赛车软件 失落的国度闯关 剩女的黄金时代主题曲 pk10冠军固定公式 108好汉官网 鹈鹕vs国王全场回放 25选5开奖结果查询安徽