講座：One Hundred Years of Rare Disaster Concerns and Commodity Prices
題 目：One Hundred Years of Rare Disaster Concerns and Commodity Prices
嘉 賓：Qunzi Zhang, Professor, Department of Finance, School of Economics Shandong University
主 持 人：張然 助理教授 上海交通大學安泰經濟與管理學院金融系
This paper shows that rare disaster concern, defined as the news implied volatility, performs very well at predicting the return of index commodity futures throughout the whole century (1926-2016). This result holds after controlling for the current business cycle conditions, the macro economic variables, and the VIX. We also find that rare disaster concern performs very well at predicting index commodity futures returns out-of-sample. The results remain robust while considering different macroeconomic conditions, such as recession (expansion), contango (backwardation), or inflation up (down).
Qunzi Zhang is currently a professor and doctoral supervisor at the Finance Department, Shandong University, and entitled with “Young Scholar of Qilu”. Her research interests include big data analysis, asset pricing, FinTech, behavioral finance, financial risk, corporate innovation and risk. She obtained her Ph.D. in Finance from the University of Lausanne and the Swiss Finance Institute in Switzerland, and her doctoral dissertation won the Best Doctoral Dissertation Award of BCV in Vaud, Switzerland. She presides over a number of scientific research projects. Her work has been published in various top academic journals, such as Journal of Financial Economics, Journal of Financial and Quantitative Analysis, Journal of Futures Markets, Journal of Portfolio Management.