5月10日下午，由首都经济贸易大学金融学院主办的首都金融论坛第193期、论文研讨班第284期如期举行，师生通过线下形式参与本次研讨。本期论文研讨邀请到了美国南卡罗莱纳大学摩尔商学院金融副教授，姜超，他就“Margin Requirements, Risk Taking, and Multifactor Models”这一会议主题，与学院师生进行了交流讨论。会议由赵大萍副院长主持，金融学院何枫、沙叶舟、马思超、邴涛、杨李正博、任幸子、刘贤达、李佳龙等教师及多名硕博研究生参加。

会议内容探讨了保证金缴纳比例, 风险承担和多因子模型。具体内容为：When investors anticipate the Fed increasing margin requirements, they bid up the riskier stocks in the long legs of hedge portfolios associated with the market, HML, and SMB factors relative to the less risky stocks in the short legs. Following such a policy change, the returns on these hedge portfolios decline, implying lower subsequent compensation for bearing the risk associated with these three factors. In contrast, margin requirements are unrelated to returns on the momentum factor. Our evidence suggests that investors adjust their risk exposures to the market, SMB, and HML factors when leverage constraints are changed, but not momentum.

 在交流环节，与会师生与姜超对Margin Requirements, Risk Taking, and Multifactor Models这篇文章进行了深入探讨。老师们提出了姜超对这些问题进行了详细的解答。本期研讨班在热烈的讨论中圆满结束，与会师生各叙己见，会议氛围轻松热烈，为师生们未来的研究方向与研究方法提供了新的思路。

主讲人简介:

姜超，美国南卡罗莱纳大学摩尔商学院金融副教授，主要研究方向包括实证资产定价、内幕交易、金融监管，他的研究成果发表在金融、会计学国际期刊上，包括Journal of Finance、Journal of Financial Economics、The Accounting Review、Management Science、Journal of Financial and Quantitative Analysis等。