题目:
1.Predicted Returns and Sources of Momentum Profits
2.Margin Policy in Futures Markets: Autopilot System in China versus Discretional Approach in the United States
演讲人: Canlin Li (University of California, Riverside)
时间：3月31日 周二 10:00-11:30am
地点: 光华新楼217教室
附演讲人简历
vitae_Canlin_Li_2008c.pdf
题目1摘要: We exploit both economic and statistical properties of predictive regressions with macroeconomic predictors to study the momentum phenomenon. We analytically show that: 1) the predictive intercept contains both a stock-specific component and a constant common-factor component of stock returns, 2) a differencing of predictive intercepts over two horizons proxies for a firm- specific component, and 3) the predictive intercept and the macro-related part of predicted returns are highly negatively correlated due to the high persistence in macroeconomic predictors. Empirically we find that the predictive intercept plays a relatively more important role than the macro-related part in explaining momentum. By using two methods to separate firm-specific information from common-factor information in the framework of predictive regressions, we document evidence that both the firm-specific return component and the return component related to time-varying risk premia contribute to momentum profits. Our results are robust to controlling the estimation bias of predictive regressions in small samples.
题目2摘要:Futures trading takes place in both China and the United States. However the regulatory policies are quite different between the two countries. Margin requirements are set as a fixed percentage of the underlying contract's daily value and thus fluctuates over time with the futures' price in China while they are set as fixed dollar amounts and typically don't change over time in the United States. With margin requirement being part of trading costs as well as the main risk management tool by the clearinghouse, the Chinese margin system and the U.S. counterpart differ in the effects of transaction costs on traders. In this paper, we study the effects of Chinese margin policy on trading activity and volatility and compare them with those from the U.S. margin system. We argue that Chinese system is more stable and has less volatility than the U.S. system and provide empirical support for it.
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