余劍峰檢視原始碼討論檢視歷史

余劍峰

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余劍峰，男，現為清華大學五道口金融學院建樹金融學講席教授，清華大學國家金融研究院資產管理研究中心主任，加入五道口之前任明尼蘇達大學卡爾森管理學院Piper Jaffray講席教授，香港中文大學(深圳)經管學院執行副院長。自2011年起任美國聯邦儲蓄銀行(達拉斯)的研究員。

余教授主要從事行為金融和宏觀金融的理論和實證研究，其研究成果已經發表在學術刊物，例如，美國經濟評論，金融期刊、金融經濟期刊、貨幣經濟期刊、管理科學和動態經濟評論。他的研究成果曾獲得多項獎項，其中包括Smith-Breeden一等獎。

基本信息

人物說明----清華大學五道口金融學院建樹金融學講席教授

民 族 ---- 漢族

國 籍 ---- 中國

職 業 ---- 教育工作者

畢業院校----賓夕法尼亞大學沃頓商學院

學位/學歷----博士

專業方向----金融

職 務 ---- 教授

個人經歷

教育背景

2008 賓夕法尼亞大學沃頓商學院, 金融系, 博士學位

2001 耶魯大學, 統計系, 統計專業, 碩士學位

2000 中國科學技術大學, 統計金融系, 概率統計專業, 學士學位

工作經歷

2016-Now 清華大學五道口金融學院 ，建樹金融學講席教授

2015-2016 香港中文大學(深圳)經管學院，金融學教授 ，執行副院長

2008-2016 明尼蘇達大學,卡爾森管理學院，金融學，助理教授, 副教授(終身教授),正教授，Piper Jaffray 講席教授

學術相關

主要研究領域

行為金融學

量化投資策略

市場摩擦中的資產定價

國際市場

基於經濟周期模型的資產定價

論文發表

[1] Investor Sentiment and the Mean-Variance Relation, (with Yu Yuan),Journal of Financial Economics100, May 2011, pp. 367-281

[2] The Short of It: Investor Sentiment and Anomalies (with Rob Stambaugh, and Yu Yuan),Journal of Financial Economics104, May 2012, pp. 288-302

·Inaugural AQR Insight Award, honorable mention, 2012

·RWC Marshall Blume Prize, honorable mention, 2011

[3] Investor Attention, Psychological Anchors, and Stock Return Predictability (with Jun Li),Journal of Financial Economics104, May 2012, pp. 401-419

[4] Using Long-Run Consumption-Return Correlations to Test Asset Pricing Models,Review of Economic Dynamics15, July 2012, pp. 317-335

[5] Technological Growth and Asset Pricing, (with Nicolae Garleanu and Stavros Panageas),Journal of Finance67, August 2012, pp. 1265-1292

· Smith-Breeden Prize (First Prize), 2012

余劍峰

來自 搜狐 的圖片

[6] Government Investment and the Stock Market (with Frederico Belo),Journal of Monetary Economics60, April 2013, pp. 325-339

[7] A Sentiment-based Explanation of the Forward Premium Puzzle,Journal of Monetary Economics60, May 2013, pp.474-491

[8] Uncertainty, Risk, and Incentives: Theory and Evidence, (with Zhiguo He, Si Li and Bin Wei),Management Science60, January 2014, pp. 206-226

· 3rd Annual TCFA Best Paper Award, 2012

[9] The Long of It: Odds That Investor Sentiment Spuriously Predicts Anomaly Returns, (with Rob Stambaugh and Yu Yuan), February 2014,Journal of Financial Economics114, December 2014, pp. 613-619

[10] Financial Entanglement: A Theory of Incomplete Integration, Leverage, Crashes, and Contagion (with Nicolae Garleanu and Stavros Panageas), July 2015,American Economic Review105, pp. 1979-2010

[11] Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle (with Rob Stambaugh and Yu Yuan), October 2015,Journal of Finance70, pp. 1903- 1948

[12] Asset Pricing in Production Economies with Extrapolative Expectations (with David Hirshleifer and Jun Li), November 2015,Journal of Monetary Economics76, pp. 87-106

[13] Short- and Long-Run Business Conditions and Expected Returns (with Qi Liu, Libin Tao and Weixin Wu),Management Science, forthcoming

[14] Reference-Dependent Preferences and the Risk-Return Trade-off (with Huijun Wang and Jinghua Yan),Journal of Financial Economics, forthcoming

· Q-Group Research Award, 2012

· Chicago Quantitative Alliance Academic Competition, Third Prize, 2014

[15] Investor Sentiment and Economic Forces (with Junyan Shen), December 2013,Journal of Monetary Economics86, pp.1‐21, Lead Article

·Chicago Quantitative Alliance Academic Competition, First Prize, 2012

· Crowell Memorial Prize (Third Prize), PanAgora Asset Management, 2013

·TCFA Best Paper Award, 2013

[16] Optimal Long-Term Contracting with Learning, (with Zhiguo He, Bin Wei, and Feng Gao), October 2015,Review of Financial Studies30, pp. 2006‐2065

工作論文

[1]. Impediments to Financial Trade: Theory and Applications (with Nicolae Garleanu andStavros Panageas), September 2017

[2]. Lottery‐Related Anomalies: The Role of Reference‐Dependent Preferences (with LiAn, Huijun Wang, and Jian Wang), November 2017

·CQAsia Academic Competition, First Prize, 2016

[3]. Drifting Apart: The Pricing of Assets when the Benefits of Growth are not SharedEqually (with Nicolae Garleanu, Stavros Panageas, and Dimitris Papanikolaou),August 2015

[4]. Time‐Varying Demand for Lottery: Speculation Ahead of Earning Announcements(with Bibo Liu, Huijun Wang and Shen Zhao), September 2017

[5]. Aggregate Expected Investment Growth and Stock Market Returns (joint with Jun Liand Huijun Wang), March 2018

[6]. Characteristics‐Based Factors (with Zhuo Chen, Bibo Liu, Huijun Wang, ZhengweiWang), January 2018

榮譽與獎項

Keynote Address: The Fifth International Workshop on Futures and Derivatives, 2016CQAsia Academic Competition, First Prize, 2016

Keynote Address: The 7th International Workshop on Behavioral Operations Management,Chicago Quantitative Alliance (CQA) Academic Competition, Third Prize, 2014

4th Annual TCFA Best Paper Award, 2013

Crowell Memorial Prize (Third Prize), PanAgora Asset Management, 2013

Annual Faculty Research Award, Carlson School of Management, 2012 & 2014

Smith‐Breeden Prize (First Prize), 2012

Institute for Quantitative Research in Finance (Q‐Group) Research Award, 2012

Chicago Quantitative Alliance (CQA) Academic Competition, First Prize, 2012

3rd Annual TCFA Best Paper Award, 2012

Inaugural AQR Insight Award, honorable mention, 2012

RWC Marshall Blume Prize, honorable mention, 2011

Dean's Small Research Grant, Carlson School of Management, 2009‐2012

Sterling Prize Fellow, Yale University, 2000‐2002

The Best Senior Thesis Award, Univ. of Science & Technology of China, 2000