The 271th Wenlan Financial Forum

Abstract：

A well-known puzzle in international finance is that, to predict exchange rate returns, existing predictive models often perform worse than the naive random walk model. In this paper, we construct an oil trend factor which performs better than the random walk model. More importantly, an oil-trend-based dynamic trading strategy can generate superior economic values. This result holds in both developed and emerging markets, with different forecasting horizons, with different specifications of trend factors, and across different currencies. Finally, we explore the economic link for the powerful predictability of the oil trend factor.

Speaker Introduction:

Qunzi Zhang is Professor, doctoral supervisor and Deputy Dean of the School of Economics, Shandong University. She has published papers in international first-class journals such as Journal of Financial Economics, Journal of Financial and Quantitative Analysis, and Management Science. She has won the second prize of excellent Paper of China Finance Annual Meeting, the Best Paper Award of WBI, and the Excellence Award of Provincial Young Teachers' Teaching Competition. She is deputy editor of international journal IJFE (SSCI,ABS Samsung) and editorial board member of Energy Nexus and The Innovation.