主讲人：马勇 教授、博士生导师

时 间：2024年4月17日（星期三）9:00-11:00

地 点：腾讯会议：242-971-899

内 容：This paper develops a novel extreme climate risk index, which is extracted from a set of transformed climate risk measures via the partial least squares method. We find that this novel index significantly outperforms and complements the well-known economic variables, individual extreme climate risk proxies, and other competitors, both in- and outof-sample, in predicting the U.S. equity market risk premium. Cross-sectionally, it also exhibits statistically and economically significant forecasting performance across various characteristic-based equity portfolios. The Campbell-Shiller-Vuolteenaho decomposition reveals that the cash flow channel is a primary economic source of the forecasting power. Besides, this new index captures information about aggregate market uncertainty and expected macroeconomic conditions.

个人简介：马勇，湖南大学金融与统计学院教授、博士生导师。入选湖湘青年英才(人文社科类)、湘江青年社科人才和湖南省121创新人才培养工程。主要研究领域为金融风险管理、信息与金融市场等。在Journal of Futures Markets, Quantitative Finance, International Review of Finance和管理科学学报、系统工程理论与实践、中国管理科学等国内外重要学术期刊发表论文40余篇。主持国家自然科学基金项目（3项）、教育部人文社科基金青年项目、湖南省优秀青年科学基金项目等。