題 目：Market Regimes, Sectorial Investments, and Time-Varying Risk Premiums
主講人：Professor Kuan Xu Dalhousie University, Canada
時 間：2010年5月13日下午 2：00-3：30
地 點：主樓418
主講人簡介：
Kuan Xu， Professor, Department of Economics, Dalhousie University, Halifax, Canada, 2004-present. Research Associate, RBC Centre for Risk Management, Faculty of Management, Dalhousie University, 2003-present. Instructor, School of Business, Faculty of Management, Dalhousie University, Halifax, Canada, 2002-present. Resident Researcher, Atlantic Research Data Centre, Statistics Canada, Halifax, Canada, 2004-2006. Resident Consultant and Member of the Advisory Board, Canadian Residential Energy End-use Data and Analysis Center (CREEDAC), Dalhousie University, Halifax, Canada, 1998-2002. He has papers published in a number of internal journals including Health Economics, Review of Development Economics, Econometric Reviews, Quantitative Finance, Canadian Journal of Economics et al..
內容簡介：
As an extension to the Fama and French three factor model (FF), this paper inves-tigates the time-varying risk premiums of sector exchange traded funds (ETF) under a Markov regime-switching framework. In addition to the three style factors in theFF model, three macro factors: changes in market volatility, yield spread, and creditspread, are included in the proposed model. Using a maximum likelihood method,we categorize the economic market into three regimes: bull, bear, and transition. We_nd all regimes are persistent with the bull market being the most persistent and the bear market being the least persistent over time. Risk premiums of the sector ETFs are highly regime dependent and the sensitivity of the funds to the risk factors are also regime dependent with positive or negative relations depending on the regimes. In contrast with the FF model, the proposed model yields substantial improvement in explaining the variation of the funds’ returns using the selected six factors. Under the regime-switching framework, the sensitivities of the funds to the style and macrofactors are shown to be more signicant than the model without regime-switching.
