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WETA@TES June 2012 - 29 June 2012, Kuan Te Lecture Hall, Bldg. 1, College of Management
【2012 年六月份 WETA 研討會】
日期：2012 年 6 月 29 日 (五) 下午2:00~5:00
地點：臺灣大學管理學院一號館 2F 冠德講堂
講題：I. Price Momentum of Financial Asset II. Empirics of Credit Default Swaps
Price Momentum of Financial Asset
A substantial finance literature examines the momentum effect – assets that perform best (worst) in the recent time continue to perform well (bad) in near future. The significant momentum effect is a direct test of the random walk hypothesis and market efficiency theory. Numerous factors of momentum effect that have been proposed and discussed include the behavioral driven theory, level of information transparency, information asymmetry, and credit quality. This talk aims to provide an overview of momentum literature and discuss possible econometric applications in investigating (or incorporating) the effect.
Empirics of Credit Default Swaps
Credit default swaps (CDS) has become one popular empirical subject in the recent finance literature. On one hand, CDS has been blamed as the accelerator to the 2008 financial crisis, and on the other hand, CDS spread now serves as one important indicator of credit condition. Numerous empirical studies on CDS reveal its pricing dynamics, key determinants, regime behavior, and links with other financial assets; which will be summarized in this talk. Potential CDS-related research in the future will also be briefly drafted, positioned, and discussed.
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