讲座题目：Return Comovement

主讲人：David Parsley教授

讲座时间：2017年10月9日（周一）12:15-13:45

讲座地点：中央财经大学学院南路校区主教702会议室

主持机构：中央财经大学国际经济与贸易学院

项目支持：本项目由国际合作处2017年度中央财经大学教师邀请海外学术伙伴来校开展合作科研项目支持，项目编号：HZKY20170040

主讲人简介：

范德堡大学（Vanderbilt University）经济和金融学教授。他在加州大学伯克利分校获经济学博士学位，在肯塔基大学获商业和经济学学士学位。Parsley教授研究方向为国际金融、全球经济一体化、汇率、货币政策等，研究成果发表于Quarterly Journal of Economics、Journal of International Economics、Journal of Financial Economics、The Economic Journal等期刊杂志。

Abstract: We examine intra-market return comovement within each of 33 economies’ stock exchanges from 1995 through 2013 using a model-free comovement gauge. We find that the stability of international macroeconomic trilemma policies, the number of crises, and the extent of turnover overshadow the empirical relevance of many variables previously thought to be important for intra-market comovement, including country risk, corruption, and investor protections. We also use a much longer sample of U.S. firms to examine compositional explanations of the well-known U.S. comovement decline and to decompose the comovement into trend and cycle. Our findings challenge the compositional explanations of the decline; additionally, they suggest that the most recent uptick reflects short-term conditions, rather than a trend reversal.

[编辑]：张萌