主题：International stock return predictability: The role of U.S. volatility risk
主讲人：周倜 南方科技大学
主持人：林智韬 威尼斯欢迎你welcome
时间：2023年5月25日（周四）下午15：30
地点：威尼斯欢迎你welcome石牌校区威尼斯欢迎你welcome大楼（中惠楼）106室
摘要
This paper studies the cross-country impact of the U.S. volatility risk on international equity risk premia. A common volatility factor constructed from the U.S. option-implied forward variances significantly predicts future stock market returns of developed countries with positive signs, both in- and out-of-sample. The results are robust to the inclusion of local forward variance factors, and local and global economic variables. We find that the U.S. volatility factor displays stronger predictive power during periods of more intense U.S. volatility spillovers and for countries that are more financially linked with the U.S. By contrast, we observe a weak positive relation between the factor and emerging market returns. These findings underscore the unique role of U.S. volatility serving as a global risk in shaping the risk-return tradeoff across integrated markets. Furthermore, we show that a large increase in the U.S. forward variances foreshadows lower international economic activities and heightened economic policy uncertainty. The predictability of the U.S. volatility factor can also be attributed to its ability to anticipate changes in global investment opportunities, consistent with an international version of ICAPM.
主讲人简介
周倜，金融学博士，现任南方科技大学商学院金融系助理教授，博士生导师，主要研究方向为资产定价、期权隐含信息、投资组合优化和金融大数据分析，主持广东省哲学社会科学规划项目，研究成果发表于《Journal of Empirical Finance》和《管理科学学报》上。
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校对|林智韬
编辑|麦嘉杰
初审|黄振
终审|郑贤
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