PDF《清华大学五道口金融学院》

however, so far there is no consensus on what method should be used in practice. We conduct a comprehensive comparison utilizing rigorous mathematical derivation and simulation. We make recommendations on which method to use. We also shed new light on the previous critics on some of the methods. We propose a methodology for analyzing the source of estimation errors, which could be applied in a much more general setting. "Determinants of Bond Risk Premia" with Jingzhi Huang presented at the AFA 2011, R & R in RFS In this paper, we provide new and robust evidence on the power of macro variables for forecasting bond risk premia by using a recently developed model selection methodCthe supervised adaptive group "least absolute shrinkage and selection operator" (lasso) approach. We identify a single macro factor that can not only subsume the macro factors documented in the existing literature but also can substantially raise their forecasting power for future bond excess returns. Speci?cally, we ?nd that the new macro factor, a linear combination of four group factors (including employment, housing, and price indices), can explain the variation in excess returns on bonds with maturities ranging from

2 to

5 years up to 43%. The new factor is countercyclical and furthermore picks up unspanned predictability in bond excess returns. Namely, the new macro factor contains substantial information on expected excess returns (as well as expected future short rates) but has negligible impact on the cross section of bond yields. 合著书籍 Model Selection for High-Dimensional Problems (with Jingzhi Huang and Wei Zhong), 2013, Handbook of Financial Econometrics and Statistics, edited by C.F. Lee and John Lee, Chapter 77, Springer Verlag. 专业活动 Presentations Time-Varying Ambiguity and Asset Pricing Puzzles

2014 Western Finance Association Meeting, Monterey

2013 Financial Management Association Doctoral Student Consortium Hedging Interest Rate Risk Using a Structural Model of Credit Risk

2016 Midwest Finance Association Meeting, Atlanta

2013 Asian Finance Association Meeting, Nanchang*

2013 ITAM Finance Conference, Mexico City*

2013 Northern Finance Association Meeting, Quebec City*

2013 Annual Derivatives Securities and Risk Management Conference* Understanding Term Premia on Real Bonds

2013 Fixed Income Conference, Charleston

2013 American Finance Association Meeting, San Diego

2012 Northern Finance Association Meeting, Niagara Falls

2012 Singapore International Conference on Finance

2012 Midwest Finance Association Meeting, New Orleans Estimation of Asset Value and Asset Volatility in Structural Models

2014 Midwest Finance Association Meeting, Orlando Determinants of Bond Risk Premia

2012 Fixed Income Conference, Charleston*

2011 American Finance Association Meeting, Denver

2010 Financial Management Association Meeting, New York

2010 SAIF and CKGSB Summer Research Conference, Shanghai

2010 China International Conference in Finance

2010 Annual Derivatives Securities and Risk Management Conference * presented by a co-author Discussions

2015 Midwest Finance Association Meeting, Chicago

2014 Midwest Finance Association Meeting, Orlando

2013 Midwest Finance Association Meeting, Chicago

2012 Fixed Income Conference, Charleston

2012 Midwest Finance Association Meeting, New Orleans

2010 Financial Management Association Meeting, New York Program Committee

2015 European Finance Association Meeting, Vienna, Austria

2015 Midwest Finance Association Meeting, Chicago