本系擬於 12/4 (五) 邀請香港理工大學的陳德峰教授至本所進行專題演講，相關訊息如下：

時間: 12/4 (五) 10:30-12:00
地點: 管理學院一號館4樓405教室
講者: 陳德峰教授
講題: Learning about Profitability Growth and Expected Stock Returns

Abstract:
This paper develops and tests a dynamic cash-flow model with learning about long-run profitability growth for pricing cross-sectional stock returns. The learning model extended from Pástor and Veronesi (2003; 2005) shows that expected stock returns are associated with two systematic risks: cash-flow beta (i.e., short-run profitability growth co-movement with aggregate consumption) and growth beta (i.e., long-run profitability growth co-movement with aggregate consumption). We then construct a two-factor model consisted of a short-run cash-flow factor and a long-run profitability growth factor. The two-factor model can characterize all the nine pricing factors and explain their risk premiums proposed in the literature and the cross section of average stock returns formed on profitability, growth, momentum, and volatility. The findings imply that the cash-flow beta and the growth beta are two common elements in asset pricing.