南开金融学术港
南开大学金融学院

杜伦大学颜诚博士做客南开金融学术讲堂
发布时间:2017-05-17 14:05:11


(通讯员 郭彬) 5月15日上午,杜伦大学讲师颜诚博士做客南开金融学术讲堂,并作了题为“Uncovered Equity 'Disparity' in Emerging Markets”的精彩报告。

Hau和Rey(2006)的组合再平衡理论将未覆盖的股权评价(Uncovered Equity Parity, UEP)作为预测指标,认为本地货币的股权增值可被货币贬值所抵消。与UEP相反,作者对八个亚洲新兴市场的日度数据做向量自回归检测,发现股权收益和货币收益是呈正相关的。在危机加剧的情况下,未覆盖的股权“差距”是事变的且不对称的。作者发现UEP的失败是由于投资者追逐收益。鲁棒性检验表明这种解释没有人为地改变全球波动情况,也不是一种安全投资转移现象。

颜诚博士现为杜伦大学经济与金融系讲师,在Journal of International Money and Finance, Journal of Investment Consulting和Journal of International Financial Markets, Institutions, and Money等杂志发表多篇论文。

 

On 15th May, 2017, Dr. Cheng Yan, a lecturer at Durham University,gave a speech named as " Uncovered Equity 'Disparity' in Emerging Markets"in Room 234, School of Finance, Nankai University.

 

The portfolio-rebalancing theory of Hau and Rey (2006) yields uncovered equity parity (UEP) as a prediction that local-currency equity return appreciation is offset by currency depreciation. Contrary to UEP, estimations of vector autoregressive models for eight Asian emerging markets using daily data reveals a positive nexus between equity returns and currency returns. The extent of the uncovered equity “disparity” is time-varying and asymmetric as it exacerbates in crisis. Dr. Yan found evidence that the UEP failure is due to investors’ return chasing. Robustness checks suggest that this explanation is not an artifact of changing global volatility conditions or a flight-to-quality phenomenon.

Dr. Cheng Yan is a lecturer at Durham University. His papers is publishedin Journal of International Money and Finance,Journal of Investment Consulting, andJournal of International FinancialMarkets, Institutions, and Money.