时间：2016年7月6日（周三）15:00-16：30 

地点：嘉庚二号楼501教室 

题目：Prospective book-to-market ratio and expectedstock returns 

报告人：Yuzhao Zhang, Assistant Professor of Finance, Rutgers, The State Universityof New Jersey 

主持人：George Wu, AssistantProfessor of Finance, Xiamen University 

论文简介： 

We propose a novel stock return predictor, the \prospectivebook-to-market", as the present value of expected future demeanedbook-to-market ratios. We find that the aggregate prospective book-to-market ratiocan significantly predict stock market return, with adjusted R-squared between5.0% and 5.8% out-of-sample. In addition, a high-minus-low investment strategybased on prospective book-to-market ratio generates significant monthly alpharanging from 13.4 to 20.8 basis points across various factor models, and thereturn spread is also shown to be non-redundant as an alternative value factorin pricing cross-section of stock returns. 

报告人简介： 

Yuzhao Zhang earned his PhD in Finance from University of California Los Angeles, USA. He has published papers injournals such as Journal of Law andEconomics, and Journal of Banking andFinance.