Speaker: Prof. 张群姿 (Qunzi Zhang)

Title: Fear in the “Fearless” Treasury Market

Schedule: Dec 11, Wed 1:30-3:00 PM

Location: 诚明楼 (Chengming Hall), Rm 315

Introduction: 张群姿，山东大学经济学院教授博导，副院长，国家自科优青项目获得者，省金融高端人才，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，山东大学杰出中青年学者、齐鲁青年学者。瑞士洛桑大学和瑞士金融学院金融学博士，博士论文曾获瑞士沃州优秀论文奖。论文发表于 Journal of Financial Economics, Journal of Financial and Quantitative Analysis, Management Science, Journal of Money, Credit and Banking 等国际一流期刊。分别担任金融学季刊和IJFE副主编、Journal of Futures Markets, Energy Nexus 和 The Innovation 期刊编委。

Abstract: 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 signif icantly 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.