题目：Uncovered Equity “Disparity” in Emerging Markets

　　报告人：颜诚，英国杜伦大学，助理教授

　　时间：2017年4月26日(周三)15:00~17:00

　　地点：经管院B228

　　报告摘要如下：

　　The portfolio-rebalancing theory of Hau and Rey (2006) yields uncovered equity parity (UEP) as a prediction that local-currency equity return appreciation is offset by currency depreciation. Contrary to UEP, estimations of vector autoregressive models for eight Asian emerging markets using daily data reveals a positive nexus between equity returns and currency returns. The extent of the uncovered equity “disparity” is time-varying and asymmetric as it exacerbates in crisis. We find evidence that the UEP failure is due to investors’ return chasing. Robustness checks suggest that this explanation is not an artifact of changing global volatility conditions or a flight-to-quality phenomenon.

　　报告人简介：

　　颜诚为英国杜伦大学经济与金融系助理教授，毕业于伦敦城市大学卡斯商学院(Cass Business School)和厦门大学王亚南经济研究院，研究方向包括国际金融、金融计量经济学、资产定价实证和市场微观结构，在Journal of International Money and Finance，Journal of Investment Consulting和Journal of International Financial Markets, Institutions, and Money等杂志发表多篇论文。