一、主题：Aggregate Default and Return Predictability

二、主讲人：张少君，香港大学金融学助理教授。2009年获得北京大学经济学学士学位，2014年获得纽约大学金融学博士学位。张少君博士的研究领域包括资产定价、国际金融、宏观金融以及数值计算。

三、时间：2015年11月24日（周二），12:30-13:30

四、地点：中央财经大学主楼913会议室

五、主持人：苟琴，必赢565net官网讲师

摘要: Using a structural model of default, we construct a measure of aggregate default defined as the probability that many firms default at the same time. Our estimation accounts for correlations in defaults between firms through common exposures to market factors. The aggregate default measure spikes during recession periods and is strongly correlated with traditional credit-based macroeconomic measures such as the default spread. Furthermore, our measure predicts future equity and corporate bond index returns, particularly at the one year horizon, and even after controlling for many traditional return predictors such as the dividend yield, default spread, inflation, and the Kelly and Jiang (2014) measure of tail risk. These predictability results are robust to out-of-sample tests.