“经济学论坛”是由北京大学经济学院经济学系主办的专业学术性论坛。论坛致力于打造一个经济学专业人士进行交流与对话的平台，对当前及未来的经济理论、研究方法和现实热点问题展开广泛、深入、全面、开放的探讨。论坛每月举办一次，由主题演讲、专业评论和自由讨论构成。论坛邀经济学各领域素有研究的知名学者或研究取得积极进展的中青年学者发表主题演讲，并围绕相关问题展开讨论。本期论坛信息如下：
题 目：An Empirical Investigation of Eastern European Bond Markets
报告人: Jinghua Wang（assistant professor of finance at Pacific Lutheran University, US）
时 间： 6月27日12:30-14:00
地 点： 经济学院302
主持人：杜丽群 教授
点评人： 赵留彦 副教授
摘 要: We examine the value of Eastern European emerging bond markets to global fixed income managers. In an environment where bonds from traditional developed markets are offering modest yields, emerging market bonds with attractive yields are becoming more popular with institutional managers. Furthermore, the returns on these bonds exhibit low correlations with traditional fixed income investments and thus offer opportunities for portfolio diversification. We develop a multifactor forecasting model and estimate its parameters using a dynamic Kalman filter procedure. The forecasts are then used to construct optimal mean–variance portfolios with and without emerging market bonds. We find that the portfolios that include emerging market bonds have significantly higher Sharpe ratios.
报告人简介: Dr. Wang serves as an assistant professor of finance at Pacific Lutheran University, US. Prior to entering academia, she worked with several financial institutions. Dr. Wang’s research interests include international finance, asset pricing, the intersection of investment and corporate finance, and financial economics. Her papers have been published in Economic Modelling, Emerging Markets Finance and Trade, Review of Quantitative Finance and Accounting, etc.
