Time：July 6th(Wed), 2017 15:00-16：30 p.m.
Venue：J2-501
Title：Prospective book-to-market ratio and expected stock returns
Reporter：Yuzhao Zhang, Assistant Professor of Finance, Rutgers, The State University of New Jersey
Host：George Wu, Assistant Professor of Finance, Xiamen University
Brief introduction of the thesis：
We propose a novel stock return predictor, the prospective book-to-market, as the present value of expected future demeaned book-to-market ratios. We find that the aggregate prospective book-to-market ratio can significantly predict stock market return, with adjusted R-squared between 5.0% and 5.8% out-of-sample. In addition, a high-minus-low investment strategy based on prospective book-to-market ratio generates significant monthly alpha ranging from 13.4 to 20.8 basis points across various factor models, and the return spread is also shown to be non-redundant as an alternative value factor in pricing cross-section of stock returns.
Brief introduction of the reporter：
Yuzhao Zhang earned his PhD in Finance from University of California Los Angeles, USA. He has published papers in journals such as Journal of Law and Economics, and Journal of Banking and Finance.
