一、主題：Aggregate Default and Return Predictability

二、主講人：張少君，香港大學金融學助理教授。2009年獲得北京大學經濟學學士學位，2014年獲得紐約大學金融學博士學位。張少君博士的研究領域包括資産定價、國際金融、宏觀金融以及數值計算。

三、時間：2015年11月24日（周二），12:30-13:30

四、地點：bevictor伟德官网主樓913會議室

五、主持人：苟琴，bevictor伟德官网講師

摘要: Using a structural model of default, we construct a measure of aggregate default defined as the probability that many firms default at the same time. Our estimation accounts for correlations in defaults between firms through common exposures to market factors. The aggregate default measure spikes during recession periods and is strongly correlated with traditional credit-based macroeconomic measures such as the default spread. Furthermore, our measure predicts future equity and corporate bond index returns, particularly at the one year horizon, and even after controlling for many traditional return predictors such as the dividend yield, default spread, inflation, and the Kelly and Jiang (2014) measure of tail risk. These predictability results are robust to out-of-sample tests.