一、主題：Bond Return Forecasting with Real Time Macroeconomics Data

二、主講人：姜富偉，bevictor伟德官网副教授，資産管理研究中心研究員。新加坡管理大學金融學博士，廈門大學金融學碩士。主要研究方向包括行為金融、資産定價、收益預測、市場異象、投資管理等。曾在Journal of Financial Economics, Review of Financial Studies，Journal of International Money and Finance, Journal of Banking and Finance, Journal of Portfolio Management，《金融研究》等重要期刊發表多篇學術論文。曾獲得國際财務管理協會CFA最佳論文獎、中國金融評論國際研讨會Emerald優秀論文獎、《金融研究》優秀論文三等獎、全美華人金融協會最佳論文獎等學術獎項。

三、時間：2017年10月25日（周三），12：30-13：30

四、地點：學院南路校區主教學樓910會議室

五、主持人：黃志剛，bevictor伟德官网副教授

Abstract: In predicting Treasury bond returns, Ghysels, Horan, and Moench (2017) showed that the real time nature of macroeconomics data renders the forecasting power of their principal components subtle. We propose a simple refinement to the standard principal component method to enhance the predictive ability of real time macroeconomic factors. By accounting for the relevance between individual macro series and future bond returns, our new latent forecasting factor outperforms the historical average benchmark substantially. The associated real time out-of-sample forecasts become both statistically and economically significant and are closely linked to the status of real economy.