主题：A “Bad Beta, Good Beta” Anatomy of Currency Risk Premiums and Trading Strategies

主讲人：I-Hsuan Ethan Chiang，北卡罗莱纳大学夏洛特分校金融学副教授。2009年获波士顿大学经济学博士学位。2008年开始任教于北卡夏洛特大学，2017年取得终身金融学副教授。他的主要研究和教学方向为资产定价、证券投资管理、固定收益证券与金融计量等方面，有多篇论文发表在国际领先的经济学和管理学学术期刊上，包括Journal of Finance、Journal of Banking & Finance、Journal of Empirical Finance、Review of Asset Pricing Studies、Managerial Finance。

时间：2019年7月5日（周五），中午12:30-13:30

地点： 中央财经大学沙河校区主教学楼302

主持人：魏旭，中央财经大学金融学院副教授

Abstract：We test a two-beta currency pricing model that features betas with risk-premium news

and real-rate news of the currency market. Unconditionally, beta with currency market risk-premium news is “bad” because of significantly positive price of risk (2.52% per year); beta with global real-rate news is “good” due to nearly zero or negative price of risk. The price of risk-premium beta risk is counter-cyclical, while the price of the real-rate beta risk is pro-cyclical. Most prevailing currency trading strategies either have excessive “bad beta” or too little “good beta,” failing to deliver abnormal performance. Our empirical results can be delivered by a no-arbitrage model with precautionary savings and a pricing kernel characterized by two separate global shocks.

[编辑]：孙颖