会计与财务管理系学术讲座通知

 

题目：Pricing Financial Distress

时间：2009年12月11日（星期五）下午2：30

地点：紫金港校区新葡的京集团3522vip702会议室

报告人：李宏志教授（台湾成功大学）

主持人：姚铮教授（新葡的京集团3522vip）

 

欢迎会计与财务管理系教师和研究生积极参加。

  

讲座内容概要：  

• Develop and find empirical support for a 4╂actor capital asset pricing model that dds financial distress risk as an economy?ide factor to Fama and French’s three factors and test in the U.S. and Japan for 1991┎006 Datastream data

• Financial distress based on Ohlson’s (1980) O?core ? must estimate for Japan, portfolio top quinAle less bottom

? Calculate buy and hold tests like Griffin and Lemmon’s (2002) U.S. data tests for recent data (1991┎006)

? Test new model against 3╂actor Fama┢rench, 4╂actor momentum as in Carhart (1997), outperforms both