讲座题目：Geopolitical Risk and the Cross-section of Stock Returns: International Evidence

讲座时间：2023年11月24日（周五）16：00-17：00

讲座地点：明德楼1101会议室

主讲嘉宾：张学勇教授      中央财经大学金融学院

主讲嘉宾简介：

张学勇，中央财经大学金融学院院长，龙马学者特聘教授、博士生导师，国家社科基金重大项目主持人，黄大年教学团队主要成员，北京市青年名师，北京市优秀研究生指导教师，北京市课程思政名师，科技金融与经济高质量发展学科基地负责人，中国资产管理研究中心主任。主笔的多篇政策建议研究报告获得国家领导人和部委采纳，在Journal of Corporate Finance，Financial Management，Journal of Economic Dynamics and Control，Journal of Portfolio Management, Journal of Accounting and Public Policy,《经济研究》、《经济学（季刊）》、《管理科学学报》、《金融研究》、《中国工业经济》等重要期刊发表论文多篇，担任国际主流学术期刊Journal of Accounting Literature中国主编（China Editor），Accounting & Finance(SSCI, JCR-2区)副主编（Editor），《计量经济学报》首届编委，China Finance Review International 编委（Department Editor）, Journal of Banking and Finance,《经济研究》等多个中外学术期刊匿名审稿人。长期发布中国股票市场的三因子、四因子和五因子数据（https://sf.cufe.edu.cn/kydt/kyjg/zgzcglyjzx/xzzq.htm）。

讲座主要内容：

This study investigates the relationship between geopolitical risk and the cross-section of stock returns in an international setting. We construct geopolitical risk index for 42 stock markets using their share of newspaper articles related to geopolitical risk, obtained from the Access World News database. By estimating the exposures of individual stocks to this geopolitical risk index, we find that a geopolitical risk beta has predictive power with respect to future stock returns, and that stocks with the lowest geopolitical risk betas generate annualized risk-adjusted returns that are 3.6% higher than the returns on stocks with the highest geopolitical risk betas. Moreover, our geopolitical risk beta can predict cross-sectional variations in stock returns for up to eleven months, with the effect more pronounced for firms in developed markets than emerging markets, and for firms in high-risk markets than low-risk markets.

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2023年11月20日