本期主题：Balanced Predictive Regressions

内容摘要：In the predictive regression, a relatively less persistent return series is regressed on the first lag of some highly persistent predictor. Therefore, predictability could often be missed due to the persistence imbalance. This paper aims to balance the predictive regression by augmenting the regression with an additional lag of the predictor. The addition of the second lag generally reduces the persistence level in the right-hand side of the equation, to achieve the balance. We then propose two appealing testing procedures based on least squares estimation, which are easy to implement in practice. Empirically, we reexamine the popular predictors in the literature, and find quite different results.

关键词：Predictiveregression；Nearlyintegratedprocess；Predictability

主讲人：任宇

时　间：2016年11月17日（周四）下午3:30-5:00

地　点：中南财经政法大学（南湖校区）文泉楼南106实验室

主办单位：

6163银河.net163.am

产业升级与区域金融湖北省协同创新中心

中南财经政法大学湖北金融研究中心

中南财经政法大学中国投资研究中心

主讲人简介：

任宇，加拿大女皇大学经济学博士，厦门大学王亚南经济研究院终身教授，经济学院金融系教授。主要研究领域为资产定价、金融计量、金融经济、应用计量等。曾在Econometric Theory，Journal of Banking and Finance，Journal of Empirical Finance等国际重要期刊上发表多篇学术论文。同时担任Journal of FinancialEconometrics，ChinaEconomicReview，ChinaFinanceReview，JournalofEmpiricalFinance，EmergingMarketsFinanceandTrade和《南方经济》，《管理科学学报》，《数量与技术经济研究》等国内外著名期刊审稿人。主持和参与国家自然科学基金多个项目，入选福建省“新世纪优秀人才”。

　　个人主页：http://econren.weebly.com/