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                        题 目:An Empirical Investigation of Eastern European Bond Markets
                        报告人:Jinghua Wangassistant 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.

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