Speaker: Claire Yurong Hong

Time/Date: 2024年3月26日（周二）12:00-13:00

Classroom: 同济大厦A楼505室

TENCENT meeting: 494144512

PW: 964195

Link: 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.