题　目：Priced Between Announcements: News Categories and Treasury Yields

嘉　宾：冯冠豪 副教授 香港城市大学

主持人：许文健 副教授 上海交通大学安泰经济与管理学院

时　间：2026年10月21日（周三）10:00-11:30

地　点：讲座：上海交通大学 徐汇校区安泰浩然楼308

内容简介:

How does news arriving between scheduled announcements relate to Treasury yields? We study seven categories of macroeconomic news in Wall Street Journal articles from 1990 to 2022, comparing dictionary-based measures, topic models, and large language models (LLMs). The LLM identifies each category, extracts supporting passages, and classifies the direction of the economic information. Directional news measures improve the explanatory power of daily yield regressions by as much as 1.10 percentage points after controlling for the yield curve and observed macroeconomic and monetary-policy surprises. The news categories remain jointly significant for maturities from six months to five years even when neither the current nor the previous Treasury trading session contains scheduled announcements. Yield decompositions reveal distinct patterns: inflation news relates primarily to expected short rates, growth news to both expected short rates and term premia, and news indicating tighter monetary policy to lower term premia.

演讲人简介：

冯冠豪现任香港城市大学金融与统计副教授、金融科技与数字资产中心(FDAC)主任,并担任金融科技与数字资产理学硕士项目创始主任及商学院硕士项目主任。他于 2017 年取得芝加哥大学博士与工商管理硕士学位。

冯冠豪的研究聚焦资产定价与金融科技中的实证问题,致力于结合机器学习、生成式人工智能、贝叶斯统计与金融计量,发展方法论层面的解决方案。研究成果发表于 Journal of Finance、Journal of Financial Economics、Management Science、Journal of Financial and Quantitative Analysis、Journal of Econometrics 等顶尖期刊。他主持多项校外科研基金,包括香港研资局的 ECS 与 GRF 项目。他还担任亚洲金融与经济研究局(ABFER)研究员,以及 Management Science、Journal of Financial Econometrics 等期刊的副主编。其研究曾获 INQUIRE Europe、香港货币及金融研究中心、AQR Insight Award 等多项荣誉。

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