西南财大光华讲坛—社会名流论坛第2203期
Title: Bad Beta Good Beta, State Space News Decompostion And the Cross Section of Stock Returns
Speaker: Qi Wang,Associate Professor, Xiamen University
Time: 13:55-15:30, Nov 18，Friday
Location:  H406 Yide Building, Liulin
Host：Lin Huang Associate Professor, Reseach Institute of Economics and Management
摘要: We document that the explaining power of Campbell and Vuolteenaho’s (2004) (CV) Bad Beta Good Beta (BBGB) model for the cross-section of stock returns is about 30% for the 25 size B/M sorted and 20 risk portfolios for a sample of monthly returns of over 30 years from 1973-2006. The result outperforms that of the traditional CAPM but not as high as originally reported in CV 2004. Following an innovative market based approach in which accounting ROE are employed as proxy for future market cash-flow news, combining with a state-space method for news decomposition, we obtained the results controlling for news decompostion method and news proxy issues. Results from this study partly confirm the effectiveness of the BBGB model as a theory in cross-section expalnation and support use of it in practice. We also found BBGB model has explanantion for the size effect which leads to its outperformance crosssectionally. We contribute by providing an alternative easy-to-implement and consistent market based method for news decomposition which is robust and advantageous.简介：王起，厦门大学王亚南经济研究院副教授，国际教育与合作中心主任。澳洲国立大学金融学博士，曾就职于澳大利亚昆士兰大学商学院、高盛等，主要研究Asset Pricing, Financial Engineering, Investment,  Risk Analysis。曾在国内外发表和出版多篇论文和著述。