主题｜Topic：Disagreement on Fundamentals and Currency Returns
时间｜Time：12.03（周二）14: 00-15: 30
地点｜Venue：文澴楼教室｜Class Room 428，WENHUAN
主办单位｜Organizer：文澜学院
承办单位｜Operator：数实融合研究中心；北京大学-中南财经政法大学新结构经济学研究中心
主讲｜Speaker
路磊，加拿大曼尼托巴大学阿斯博商学院金融学正教授，Bryce Douglas金融学讲席教授， 博士生导师。2007年毕业于加拿大麦吉尔大学，获得金融学博士学位。2007至2011年任 教于上海财经大学金融学院，2011至2016年任教于北京大学光华管理学院。
他的研究方向包括资产定价，行为金融和国际金融。他的研究发表在Management Science, Journal of Financial and Quantitative Analysis, Journal of Corporate Finance, Journal of Financial Markets, Financial Management, Journal of Economic Dynamics and Control, Economic Theory, Journal of Futures Markets等金融学、经济学和管理学英文期刊。他的研究也发表在《管理 科学学报》和《金融研究》等中文期刊。
他曾主持过加拿大社会科学和人文研究理事会(SSHRC)基金项目，国家自然科学基金面 上项目，上海市浦江人才计划项目， 以及中国金融期货交易所的研究项目。 他目前担任Accounting and Finance, China Finance Review International, Journal of Management Science and Engineering杂志副主编。
摘要｜Abstract
We find a significant relationship between disagreement regarding international macroeconomic fundamentals and currency returns in the long run. Specifically, we observe that currencies are more likely to be overvalued in terms of real exchange rates during episodes of high disagreement on international economic activity. These over-valued currencies tend to exhibit positive returns in the following year. However, this trend reverses in the long run, approximately four to five years later, as these currencies experience a negative return, correcting the initial overvaluation. We explain our finding by showing that capital tends to move away from the US when global disagreement is high, causing temporary appreciation of foreign currencies under increased demand pressure.
