主讲人Speaker: 朱小能    教授    上海财经大学

时间Date & Time: 2025年11月27日（周四），15:30--17:00

地点Venue:粤海校区汇星楼565会议室

When heterogeneous beliefs are present, the bond risk premium can vary due to systematic belief bias. This paper provides an estimator of bond expected return based on real-time macroeconomic variables. We find that the estimated expected returns are significantly related to ex ante macroeconomic belief distortions, survey based macroeconomic expectation errors, interest rate expectation errors, expectation errors in subjective risk premiums, and monetary policy surprises. The estimated expected returns have strong predictive power for bond excess returns, both in-sample and out-of-sample, beyond interest rate expectation errors and other yield-curve or macro factors. Our findings support the joint presence of systematic belief bias and disagreement among treasury bond market participants.

主讲人介绍/Biography of the speaker：

朱小能，上海财经大学金融学院二级教授、博导、党委书记，国家级青年人才。主要从事资产定价、宏观经济、货币政策等方面的研究。近年来在国际顶级期刊《Journal of Financial Economics》、《Management Science》、《Journal  of Financial and Quantitative Analysis》、《Review of Finance》等发表论文30余篇。国内权威期刊《经济研究》、《金融研究》《世界经济》等发表论文20多篇；多项决策咨询成果获国家领导批示；在《光明日报》、《解放日报》、《上海证券报》等发表评论文章多篇。主持国家社科重大项目、国家自然科学基金等各类课题。牵头成果获评国家教学成果奖和国家一流课程。