时间：2025年10月23日10:00
地点：经管楼1205室
主讲人：张群姿 教授，山东大学经济学院
题目：Fear in the "Fearless" Treasury Market
摘要：This paper examines how fear affects the Treasury market and predicts Treasury bond returns. Using a text-based fear index from social and news media, we find that fear significantly predicts future Treasury returns, both in-sample and out-of-sample, and suggests the global transmission of fear. We also propose a model explaining that risk aversion shocks drive bond risk premia. Our paper further explores various dimensions of fear effects, such as term, magnitude, dynamics, and sources, and compares them with other sentiments. The results highlight the critical role of fear in Treasury market dynamics.
个人简介：张群姿，国家级人才项目主持人，山东大学经济学院教授博导，副院长，国家、省一流本科课程负责人，教育部全国高校“双带头人”党支部书记工作室负责人及“强国行”专项行动负责人。论文发表于Journal of Financial Economics, Journal of Financial and Quantitative Analysis，Management Science等国际一流期刊。分别担任金融学季刊和Journal of Futures Markets, International Journal of Finance and Economics副主编。