World Rare Disaster Concerns and Stock Returns

2019-05-21

Speaker Zhang Qunzi, Shandong University

Time:  10:00am, Friday, May 24,2019

SiteEMS  A208

Host: Lin Qian

Abstract: We propose an ex ante rare disaster index relying on the six news implied rare disaster measures of Manela and Moreira (2017). The new index can strongly predict international stock returns (including both developed and emerging markets) in-sample and out-of-sample, and deliver sizable economic value for investors. The predictive power of the index is above and beyond traditional predictors such as the dividend yield and interest rates. This evidence is consistent with economic theories emphasizing globally shared rare disaster risk and time-varying disaster risk as an important driving force of asset price fluctuations

Introduction to the Speaker

Zhang Qunzi is now a professor and doctoral supervisor in the Department of Finance at School of Economics, Shandong University. She received her PhD in Finance from Swiss Finance Institute and University of Lausanne. Her papers has been published in Journal of Financial Economics, Journal of Futures Markets and other international journals. Prof. Zhang Qunzi presided over the general program of humanities and social sciences of the Ministry of Education (Youth Fund), Scientific Research Fund of the Ministry of Education (2015311), general program of China Postdoctoral Fund (2018M632647), major financial and economic application project of Shandong Province (CJ201713), independent innovation fund of Shandong University (2015HW006), Sino-Thai securities cooperation project. Additionally, she participated in the project of National Natural Science Foundation, the Natural Science Foundation project of Shandong Province, the level-A project of the Chinese Academy of Sciences in fintech risk analysis and regulatory countermeasures and suggestions, and the key research project of Securities Association of China in 2018.