演讲人:Claire Yurong Hong
时间:2024年3月26日(周二)12:00-13:00
地点:同济大厦A楼505室
同步#腾讯会议:494144512
会议密码:964195
链接:https://meeting.tencent.com/dm/xYLp2ArlDSaC
摘要: We document strong and unique inflation forecastability using the relative pricing between stocks with high- and low-inflation exposures. We construct the stock-level headline- and core-focused inflation betas by taking advantage of the fact that stock returns exhibit persistent sensitivity to headline-CPI shocks during the calendar month of CPI, and to core-CPI news on CPI announcement days. Above and beyond the existing forecasting methods, our stock-based portfolios contain fresh and non-redundant predictive information, indicating active price discovery on inflation in cross-sectional stocks. The core-focused forecasting portfolio emerges as a unique and unparalleled predictor for core inflation, whose predictive power and economic significance increase dramatically during the inflation surge of 2021 and 1973. Moreover, our stock-based information is not incorporated by economists in their inflation forecasts, whose room for improvement is especially large during 2021-22. We also find stronger predictability under Fed’s QE and when the Fed is behind-the-curve in fighting inflation.
简介: 洪玉蓉,上海交通大学上海高级金融学院副教授。她于2018年博士毕业于香港科技大学,主要研究方向为资产定价,资产管理,及金融科技。她的研究成果发表于金融学术期刊,如Management Science, Journal of Financial and Quantitative Analysis.