题　目：Beyond First-Order Bias in Predictive Regressions: Estimation, Inference, and Return Predictability

嘉　宾：蒋亮 副教授 复旦大学

主持人：万相伟 副教授 上海交通大学安泰经济与管理学院

时　间：2026年3月11日（周三）13:30-15:00

地　点：上海交通大学 徐汇校区安泰浩然楼306

内容简介:

This paper reveals a large and overlooked source of distortion in predictive regressions: higher-order bias. While existing corrections only address first-order bias, we show that higher- order terms in both direct regression (DR) and implication (IM) based estimators can seriously mislead both statistical and economic conclusions, especially with persistent predictors and long horizons. We then develop iBoot, a unified framework that integrates indirect inference with bootstrap methods. iBoot (i) jointly corrects first- and higher-order biases in both estimation and inference for DR and IM estimators, and (ii) applies seamlessly to both short- and long-horizon regressions. Simulations demonstrate that iBoot achieves minimal bias, accurate confidence intervals, correct test size, and high power. When applied to classic return predictors, iBoot materially changes the economic significance of return predictability. This paper thus establishes a new foundation for credible and robust estimation and inference in predictive regressions.

演讲人简介：

Liang Jiang, Associate Professor of Finance at the International School of Finance (FISF), Fudan University. Before joining FISF in 2017, he worked as a post-doctoral research fellow at Singapore Management University.

His research interests mainly focus on Fiancial Econometrics, Empirical Finance and Applied Econometrics. He has published various papers in academic journals such as Review of Economics and Statistics, Journal of Econometrics, Review of Asset Pricing Studies, Journal of Banking and Finance, etc. His research has been funded by 2018 MOE (Ministry of Education in China) Project of Humanities and Social Sciences and 2024 National Natural Science Foundation of China.

He has been a referee for academic journals such as Management Science, Journal of Econometrics, Journal of Business & Economic Statistics, Journal of Financial Markets, and etc. He was also an external reviewer for the Hong Kong Research Grants Council.

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