欧宝体育app

消息中间NEWS

前往欧宝体育app

讲座:The Systematic Risk of Global Asset Returns in Times of Crisis: (How) Is COVID-19 Different?

宣布者:金融系    宣布时候:2021-06-08

题 目:The Systematic Risk of Global Asset Returns in Times of Crisis: (How) Is COVID-19 Different?

嘉 宾:Yukun Liu, Assistant Professor, University of Rochester

掌管人:张然  助理传授  上海交通大学安泰经济与办理学院

时 间:2021618日(周五)9:00-10:30

地 点:腾讯集会(校内师生如需获得集会号和暗码,请于6月17日下战书17点前发送电邮至finance@acem.sh4solutions.com)

内容简介:

Using high-frequency data, we estimate and characterize the evolution of the factor structure of global asset returns across aggregate equity, fixed income and exchange rates over the period 2007-2020. We show how the factor structure of asset returns dramatically changes during crises compared to normal times, and describe common features of these crisis periods (e.g., Covid-19 pandemic, Global Financial Crisis, Brexit and Eurozone debt crisis). As an application, we identify how systematic factors become related to Covid-19 using news/shocks about the virus and epidemiological model forecast errors. We then investigate the implications of these findings for popular asset portfolios, with a particular focus on the volatility of these portfolios and their systematic risk exposure. Interestingly, the ability to diversify country asset-specific risk and hedge systematic risk is greatly reduced during the peak of Covid-19 news. These findings are common across crises.

报告人简介

Yukun Liu is an Assistant Professor of Finance at the Simon Business School of University of Rochester. My primary research fields are asset pricing, labor and finance, and Fintech. Prior to joining Simon, he received my PhD in economics from Yale University, and BA in economics and mathematics from Cornell University.

接待泛博师生参与!