Technology Prospects and the Corss-Section of Stock Returns
2008/06/17
研討會日期 : 2008-06-17
時間 : 14:30
主講人 : 許博炫
地點 : C棟103室
演講者簡介 : Professor Po-Hsuan Hsu 為Ph.D. in Finance，Columbia University (2007)。
目前為Assistant Professor, Department of Finance, School of Business, University of Connecticut。
其主要研究領域為Asset Pricing、Financial Econometrics及Entrepreneurial Finance。
演講摘要 : In an intertemporal economy, the changes in technology prospects affect consumption, investment opportunities, and lead to systematic technology risk. We construct a technology factor that tracks the changes in technology prospects based on U.S. patent data. This technology factor explains the growth of consumption and investment, and contributes to the cross-sectional variation of stock returns. Moreover, it is found to explain a part of the underperformance of small-growth stocks and the momentum phenomenon.
