一、讲座主题：Gold Price Ratios and Aggregate Stock Returns

二、主讲人：方彤

方彤，william威廉亚洲官方副研究员，研究领域为金融预测、气候金融和波动率建模等，主要成果发表在Journal of Empirical Finance, Journal of Forecasting, Economics Letters和《数量经济技术经济研究》等期刊上。

三、主要内容：

Abstract: We examine whether gold price ratios, which represent the relative valuations of gold, predict aggregate stock returns. We find that gold price ratios positively predict future stock returns in-sample, but fail to generate significant out-of-sample forecasting performance, except for the gold-oil price ratio (GO). GO is the most powerful predictor both in-sample and out-of-sample. The predictive ability of GO remains significant after controlling for traditional predictors and other gold price ratios. We find that GO drives stock returns through the cash flow channel, and is also associated with future bad economic conditions. The GO movement is determined by rare disaster concerns instead of economic fundamentals. Our results are robust to a series of tests.

四、时间：2022年11月17日12:00-13:00

五、地点：中心校区知新楼B321