Time：July 6, 2016（Wednesday）15:00-16：30
Venue：Room 501, Jiageng Bld 2
Topic：Prospective book-to-market ratio and expected stock returns
Presenter：Yuzhao Zhang, Assistant Professor of Finance, Rutgers, The State University of New Jersey
Chair：George Wu, Assistant Professor of Finance, Xiamen University
Abstract：
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.
Presenter Introduction：
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.