徐信忠 |
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| 教师照片 | |||||||
| 教师名称 | 徐信忠 | ||||||
| 工作单位1（学校） | 北京大学 | ||||||
| 工作单位2（院系） | 光华管理学院金融系 | ||||||
| 徐信忠 主要研究领域 | 公司治理 行为金融 金融工程 | ||||||
| 职称 | 教授 | ||||||
| 职务 | 系主任 | ||||||
| 徐信忠 简介 |
1981年9月至1985年7月在北京大学气象学专业学习，取得学士学位； 1987年9月至1989年6月在英国Aston大学工商管理专业学习，取得硕士学位(MBA)； 1989年9月至1993年12月在英国Lancaster大学金融学专业学习，取得博士学位 |
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| 徐信忠 代表性学术成果 |
The Dynamics of International Equity Market Expectations (Co-authored with Michael J.Brennan, H. Henry Cao, Norman Strong), Journal of Financial Economics, forthcoming Forecasting FX Volatility: Inplied Volatilities versus AR(FI)MA Models, Journal of Banking and Finance, forthcoming. (Co-authored with S.Pong, M.Shackleton, and S. Taylor) . CAPM, Higher Co-moment and Factor Models of UK Stock Returns, 2004, Journal of Bussiness Finance and Accounting, March. (Co-authored with D.Hung and M. Shackleton) Post-Earning-Announcement Drift in the UK, 2003, European Financial Management, 9(1), 89-116. (Co-authored with W.Liu and N.Strong) Understanding the Equity Home Bias:The Evidence from the Survey Data, 2003, Review of Economics and Statistics, May, 307-312.(Co-authored with N.Strong) Pricing FTSE 100 Index Options under Stochastic Volatility, 2001, Journal of Futures Markets, 21, 197-211. (Co-authored with Y. Lin and N. Strong). The Profitability of Momentum Investing, 1999, Journal of Business Finance and Accounting, 26, 1043-1091. (Co-authored with W. Liu and N. Strong) Do S&P 500 Index Options Violate Martingale Restriction?, 1999, Journal of Futures Markets, 15(5), 499-521. (Co-authored with N. Strong) The Incremental Volatility Information in One Million Foreign Exchange Quotations, 1997, Journal of Empirical Finance, 4(4), 317-340. (Co-authored with S. Taylor) Explaining the Cross-section of UK Expected Stock Returns, 1997, British Accounting Review, 29(1), 1-23. (Co-authored with N. Strong) Conditional Volatility and the Informational Efficiency of PHLX currency Options Markets, 1995, Journal of Banking and Finance, 19(4), 803-821. (Co-authored with S. Taylor) The Term Structure of Volatility Implied by Foreign Exchange Options, 1994, Journal of Financial and Quantitative Analysis, 29(1), 57-74. (Co-authored with S. Taylor) The Magnitude of Implied Volatility Smiles: Theory and Empirical Evidence for Exchange Rates, 1994, Review of Futures Markets, 13(2), 355-380. (Co-authored with S. Taylor) |
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| 上传时间 | 2010-6-25 14:49 | ||||||
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