讲座：The Systematic Risk of Global Asset Returns in Times of Crisis: (How) Is COVID-19 Different?
题 目：The Systematic Risk of Global Asset Returns in Times of Crisis: (How) Is COVID-19 Different?
嘉 宾：Yukun Liu, Assistant Professor, University of Rochester
主持人：张然 助理教授 上海交通大学安泰经济与管理学院
Using high-frequency data, we estimate and characterize the evolution of the factor structure of global asset returns across aggregate equity, fixed income and exchange rates over the period 2007-2020. We show how the factor structure of asset returns dramatically changes during crises compared to normal times, and describe common features of these crisis periods (e.g., Covid-19 pandemic, Global Financial Crisis, Brexit and Eurozone debt crisis). As an application, we identify how systematic factors become related to Covid-19 using news/shocks about the virus and epidemiological model forecast errors. We then investigate the implications of these findings for popular asset portfolios, with a particular focus on the volatility of these portfolios and their systematic risk exposure. Interestingly, the ability to diversify country asset-specific risk and hedge systematic risk is greatly reduced during the peak of Covid-19 news. These findings are common across crises.
Yukun Liu is an Assistant Professor of Finance at the Simon Business School of University of Rochester. My primary research fields are asset pricing, labor and finance, and Fintech. Prior to joining Simon, he received my PhD in economics from Yale University, and BA in economics and mathematics from Cornell University.