活动预告｜国家自然科学基金重大项目系列讲座暨“学术大讲堂”2025春季第5期
国家自然科学基金重大项目“科技金融的基础理论与实证”系列讲座第5期暨南开金融“学术大讲堂”2025春季第5期
嘉宾简介
张群姿，山东大学经济学院教授博导，副院长，国家自科优青项目主持人，省金融高端人才，省一流本科课程负责人，教育部全国高校“双带头人”党支部书记工作室负责人，山东大学杰出中青年学者、齐鲁青年学者。瑞士洛桑大学和瑞士金融学院金融学博士，博士论文曾获瑞士沃州优秀论文奖。论文发表于Journal of Financial Economic，Journal of Financial and Quantitative Analysis，Management Science, Journal of Money, Credit and Banking等国际一流期刊。分别担任金融学季刊和Journal of Futures Markets、IJFE副主编, Energy Nexus和The Innovation期刊编委。
摘要
This paper examines how fear affects the Treasury market and predicts Treasury bond returns. Using a text-based fear index from social and news media, we find that fear significantly predicts future Treasury returns, both in-sample and out-of-sample, and suggests the global transmission of fear. We also propose a model explaining that risk aversion shocks drive bond risk premia. Our paper further explores various dimensions of fear effects, such as term, magnitude, dynamics, and sources, and compares them with other sentiments. The results highlight the critical role of fear in Treasury market dynamics.
往期回顾：
来源 | 金融学院"融育"学风涵养工作室
编辑 | 金融学院记者团（新闻中心）阚今然
审校 | 朱芷昕
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