一、 主题：A “Bad Beta, Good Beta” Anatomyof Currency Risk Premiums and Trading Strategies

二、 主讲人：I-Hsuan Ethan Chiang，北卡罗莱纳大学夏洛特分校金融学副教授。2009年获波士顿大学经济学博士学位。2008年开始任教于北卡夏洛特大学，2017年取得终身金融学副教授。他的主要研究和教学方向为资产定价、证券投资管理、固定收益证券与金融计量等方面，有多篇论文发表在国际领先的经济学和管理学学术期刊上，包括Journal of Finance、Journalof Banking & Finance、Journal of EmpiricalFinance、Review of Asset Pricing Studies、ManagerialFinance。

三、 时间：2019年7月5日（周五），中午12:30-13:30

四、 地点：suncitygroup太阳新城沙河校区主教学楼302

五、 主持人：魏旭，suncitygroup太阳新城副教授

Abstract：Wetest a two-beta currency pricing model that features betas with risk-premiumnews

andreal-rate news of the currency market. Unconditionally, beta with currencymarket risk-premium news is “bad” because of significantly positive price ofrisk (2.52% per year); beta with global real-rate news is “good” due to nearlyzero or negative price of risk. The price of risk-premium beta risk iscounter-cyclical, while the price of the real-rate beta risk is pro-cyclical.Most prevailing currency trading strategies either have excessive “bad beta” ortoo little “good beta,” failing to deliver abnormal performance. Our empiricalresults can be delivered by a no-arbitrage model with precautionary savings anda pricing kernel characterized by two separate global shocks.