报告人： Liang Jiang（Fudan University）
时间：2026-09-24 13:30-14:50
地点：Room 217, Guanghua Building 2
Abstract:
Boudoukh, Israel, and Richardson (2022) show that finite-sample distortions cast doubt on coefficient magnitudes and inference in long-horizon return-predictability regressions. We strengthen their diagnosis by showing that bias beyond the first-order approximation can remain quantitatively important in empirically relevant settings, even at short horizons, and can grow with the horizon. We then develop iBoot, a unified framework that combines indirect inference with the bootstrap for both direct-regression (DR) and implication-based (IM) estimators. Across short and long horizons, iBoot corrects both first-order bias and the bias that remains beyond first order and constructs reliable statistical inference tailored to the resulting bias-corrected estimators. Simulations show that iBoot sharply reduces bias, improves confidence-interval coverage and test size, and retains strong power. Empirically, iBoot materially changes estimates and statistical conclusions about return predictability for several widely used predictors. Across horizons and frequencies, it provides evidence that higher inflation predicts lower future excess returns.
About the Speaker:
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 Financial Econometrics, Empirical Finance, and Applied and Theoretical Econometrics. He has published various papers in academic journals such as Review of Economics and Statistics、Management Science、Journal of Econometrics and Review of Asset Pricing Studies, 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 was awarded the FISF Faculty Recognition Award at 2021 (EMF) and 2024 (EMBA) respectively.
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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