一、 主題：A “Bad Beta, Good Beta” Anatomyof Currency Risk Premiums and Trading Strategies

二、 主講人：I-Hsuan Ethan Chiang，北卡羅萊納大學夏洛特分校金融學副教授。2009年獲波士頓大學經濟學博士學位。2008年開始任教于北卡夏洛特大學，2017年取得終身金融學副教授。他的主要研究和教學方向為資産定價、證券投資管理、固定收益證券與金融計量等方面，有多篇論文發表在國際領先的經濟學和管理學學術期刊上，包括Journal of Finance、Journalof Banking & Finance、Journal of EmpiricalFinance、Review of Asset Pricing Studies、ManagerialFinance。

三、 時間：2019年7月5日（周五），中午12:30-13:30

四、 地點：bevictor伟德官网沙河校區主教學樓302

五、 主持人：魏旭，bevictor伟德官网副教授

Abstract：Wetest a two-beta currency pricing model that features betas with risk-premiumnews

andreal-rate news of the currency market. Unconditionally, beta with currencymarket risk-premium news is “bad” because of significantly positive price ofrisk (2.52% per year); beta with global real-rate news is “good” due to nearlyzero or negative price of risk. The price of risk-premium beta risk iscounter-cyclical, while the price of the real-rate beta risk is pro-cyclical.Most prevailing currency trading strategies either have excessive “bad beta” ortoo little “good beta,” failing to deliver abnormal performance. Our empiricalresults can be delivered by a no-arbitrage model with precautionary savings anda pricing kernel characterized by two separate global shocks.