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國立臺灣大學計量理論與應用研究中心 - CRETA

學術活動

CRETA Seminar

2012 年 6 月份 WETA

訊息標題:

2012 年 6 月份 WETA

簡介摘要:

WETA@TES June 2012 - 29 June 2012, Kuan Te Lecture Hall, Bldg. 1, College of Management

 

【2012 年六月份 WETA 研討會】
日期:2012 年 6 月 29 日 (五) 下午2:00~5:00
地點:臺灣大學管理學院一號館 2F 冠德講堂
講者:黃宜侯教授 元智大學財務金融學系
講題:I. Price Momentum of Financial Asset II. Empirics of Credit Default Swaps

講題摘要:

Price Momentum of Financial Asset
A substantial finance literature examines the momentum effect – assets that perform best (worst) in the recent time continue to perform well (bad) in near future. The significant momentum effect is a direct test of the random walk hypothesis and market efficiency theory. Numerous factors of momentum effect that have been proposed and discussed include the behavioral driven theory, level of information transparency, information asymmetry, and credit quality. This talk aims to provide an overview of momentum literature and discuss possible econometric applications in investigating (or incorporating) the effect.

Empirics of Credit Default Swaps
Credit default swaps (CDS) has become one popular empirical subject in the recent finance literature. On one hand, CDS has been blamed as the accelerator to the 2008 financial crisis, and on the other hand, CDS spread now serves as one important indicator of credit condition. Numerous empirical studies on CDS reveal its pricing dynamics, key determinants, regime behavior, and links with other financial assets; which will be summarized in this talk. Potential CDS-related research in the future will also be briefly drafted, positioned, and discussed.

講者介紹:

黃宜侯教授為美國紐約市立大學經濟學博士,目前任職於元智大學財務金融學系。研究專長為財務經濟學、公共財政學以及應用計量經濟學,詳細期刊論文著作請參閱黃教授網頁。

備註事項:

WETA 為免費參加的研討會,不需事先報名,歡迎各位踴躍參加!!此外,為方便各位學界的朋友,我們特別開放現場繳納會費,歡迎大家介紹非會員朋友加入臺灣經濟計量學會。如有問題,歡迎來信或來電: ( E-mail:< ntucreta@ntu.edu.tw >; Tel: 02-3366-1072)