光华讲坛——社会名流与企业家论坛第6598期

主题：Excess Volatility in Professional Stock Return Forecasts 专业股票收益预测中的超额波动率

主讲人：加州大学圣地亚哥分校雷迪管理学院 Rossen Valkanov教授

主持人：西南财经大学金融研究院 刘俊教授

时间：7月5日 10:00-11:30

举办地点：光华校区35栋金融研究院202会议室

主办单位：金融研究院 国际交流与合作处 科研处

主讲人简介：

Rossen Valkanov是加州大学圣地亚哥分校雷迪管理学院管理学教授和金融学教授，也是新的金融硕士项目的首任联合主任。他在普林斯顿大学获得了经济学博士学位。他的主要研究领域是实证金融、金融计量经济学、金融预测、风险管理、投资组合配置和房地产。Valkanov教授撰写了大量文章和书籍章节。他的研究成果已发表在一些最负盛名的期刊上，例如Journal of Finance，Journal of Financial Economics和 Review of Financial Studies。基于他的研究的经验方法和大数据应用——例如混合数据抽样回归 (MIDAS)、参数投资组合方法和预测程序——受到了金融行业从业者的极大兴趣。他目前是Journal of Empirical Finance的编辑。Valkanov 教授曾在加州大学洛杉矶分校、加州大学伯克利分校、普林斯顿大学以及其他机构任教。他是一位屡获殊荣的教育家，并定期在加州大学圣地亚哥分校教授金融硕士、MBA、和 EMBA 课程。他是许多专业组织的成员，包括美国金融协会、美国经济学会、计量经济学会和美国房地产与城市经济学协会。

Rossen Valkanov is the Zable Endowed Chair in Management and Professor of Finance at the Rady School of Management, the University of California, San Diego, and inaugural Co-Director of the new Master’s in Finance program. He received his Ph.D. in Economics from Princeton University. His main research interests are in the areas of empirical finance, financial econometrics, financial forecasting, risk management, portfolio allocation, and real estate. Professor Valkanov has authored numerous articles and book chapters. His research has been published in some of the most prestigious peer-reviewed journals such as the Journal of Finance, Journal of Financial Economics, and Review of Financial Studies. Empirical methods and big data applications based on his research—such as Mixed Data Sampling Regressions (MIDAS), parametric portfolio approaches, and forecasting procedures—have received significant interest from the finance industry practitioners. He is currently Editor of the Journal of Empirical Finance. Professor Valkanov has taught at UCLA, UC Berkeley, Princeton, and various other institutions in the US and abroad. He is an award winning educator and teaches regularly in the Masters of Finance, MBA, and Executive MBA programs at UCSD. He is a member of many professional organizations, including the American Finance Association, the American Economic Association, the Econometric Society, and the American Real Estate and Urban Economics Association.

内容简介：

共识专业股票收益预测的波动性是非专业人士和计量经济学家的三倍。这种 "超额 "波动性主要源于专业人士对宏观冲击的强烈反周期反应，这至少占了预测差异总变化的 50%。我们采用一种新颖的两阶段最小二乘法程序，确定了宏观冲击导致的专业预测中的贴现率变化，并表明这种变化在定性和定量上与事后实现的收益和理性资产定价模型的含义相一致。我们的结论是，专业人士善于评估贴现率冲击的影响，而且远远早于（宏观经济）增长所受的总体影响。因此，我们对预期形成过程的模型提出了质疑，该模型应考虑到不同预测者之间的异质性以及被预测变量的异质性。

Consensus professional stock return forecasts are three times more volatile than those of non-professionals and econometricians. This “excess” volatility primarily stems from professionals' strong countercyclical response to macro shocks, which account for at least 50\% of total variation in forecast-differences. Employing a novel two-stage least squares procedure, we identify the discount rate variation in professional forecasts due to macro shocks and show this variation aligns qualitatively and quantitatively with ex post realized returns and implications of rational asset pricing models. We conclude that professionals adeptly evaluate the impact of discount rate shocks and well before the total impact on (macroeconomic) growth is materialized. Thus, we challenge models of the expectation formation process, which should account for heterogeneity across forecasters as well as the variable being forecasted.