题目：Quantitative Investment Strategy and the Return Drivers in Chinese Equity Market
报告人：Shi-Jie Deng
H. Milton Stewart School of Industrial and Systems Engineering, Georgia Institute of Technology
时间：2015年12月10日下午1：30 -3：30
地点：博萃楼阳光房
论文：学院内网
Abstract: Equities market in China has attracted a growing amount of attention from global investors as the market size and the relative weight of the market to the GDP of the second largest economy in the world have grown significantly over the past decades. We analyze the risk and return characteristics of the Chinese stocks by applying robust regression techniques to identify the return drivers through the cross-sectional return analysis. We find that, similar to equity markets in other major economies such as Japan, stock market in China rewards investors with excess returns for exposures to the fundamental risk factors such as earning-to-price ratio, consensus earnings forecast and price momentum as well.
Dr. Shi-jie Deng is an Associate Professor of financial engineering at Georgia Institute of Technology. He holds a doctorate in Operations Research from University of California at Berkeley. His research interest includes financial asset pricing and real options valuation, portfolio optimization, statistical arbitrage and high-frequency strategies and risk management applications in energy commodity markets
Selected Publication
[1]N.H. Chan, S.J. Deng, L. Peng, and Z. Xia (2007). “Interval Estimation of Value-at-Risk Based on GARCH with Heavy Tailed Innovations,”Journal of Econometrics, Vol.137, pp. 556-576.
[2] S.J. Deng, M.Q. Li, and J.Y. Zhou (2008). “Closed-form Approximations for Spread Option Prices and Greeks,” Journal of Derivatives, Spring.
[3] S.J. Deng, M.Q. Li, and J.Y. Zhou (2009). “Multi-asset Spread Option Pricing and Hedging,” Quantitative Finance, in press.
[4] S.J. Deng, X. Min (2013). “Applied Optimization in Global Efficient Portfolio Construction Using Earning Forecast,” The Journal of Investing, Vol. 22, No.4: pp. 104-114.
[5] L. Xu, S.J Deng, and V.M. Thomas (2014). “Carbon Emission Permit Price Volatility Mitigation via Financial Options,” Energy Economics, In Press.
