在美国金融协会（AFA）颁发的Dimensional Fund Advisors Prizes中，来自芝加哥大学的修大成教授及合作者论文“Business News and Business Cycles”，以及来自上海科技大学的张亚佩助理教授及合作者论文“Countercyclical Income Risk and Portfolio Choices: Evidence from Sweden”，同时获得Dimensional Fund Advisors Prize年度杰出论文奖（Dimensional Fund Advisors Prizes for 2024 - Distinguished Papers）。
获奖荣誉证书
修大成
Business News and Business Cycles
Leland Bybee
耶鲁大学
Bryan Kelly
耶鲁大学
Asaf Manela
圣路易斯华盛顿大学和赖克曼大学
修大成
芝加哥大学
We propose an approach to measuring the state of the economy via textual analysis of business news. From the full text of 800,000 Wall Street Journal articles for 1984 to 2017, we estimate a topic model that summarizes business news into interpretable topical themes and quantifies the proportion of news attention allocated to each theme over time. News attention closely tracks a wide range of economic activities and can forecast aggregate stock market returns. A text-augmented vector autoregression demonstrates the large incremental role of news text in forecasting macroeconomic dynamics. We retrieve the narratives that underlie these improvements in market and business cycle forecasts.
相关阅读：修大成等最新JF | 对新闻进行文本分析可以预测股票市场回报
上海科技大学创业与管理学院金融学助理教授。她于法国巴黎高等商学院（HEC Paris）获得金融学博士学位，并在法国综合理工学院（École Polytechnique, l'X）获得硕士学位。她的研究成果接受、发表在Journal of Finance和Critical Finance Review等学术期刊。目前，她的研究主要集中在家庭金融、创业金融和金融科技等领域。
获奖论文简介
逆周期收益风险与投资组合选择：来自瑞典的证据
Sylvain Catherine
宾夕法尼亚大学
Paolo Sodini
斯德哥尔摩经济学院
张亚佩
上海科技大学
Using Swedish administrative panel data, we document that workers facing higher left-tail income risk when equity markets perform poorly have lower portfolio equity share. In line with theory, the relationship between cyclical skewness and stock holdings increases with the share of human capital in a worker's total wealth and vanishes as workers get closer to retirement. Cyclical skewness also predicts portfolio differences within pairs of identical twins. Our findings show that households hedge against correlated tail risks, an important mechanism in asset pricing and portfolio choice models.
使用瑞典行政面板数据，我们记录了当股市表现不佳时面临较高左尾收入风险的工人的投资组合股票份额较低。根据理论，周期性偏度与股票持有量之间的关系随着人力资本在工人总财富中的份额而增加，并随着工人接近退休而消失。周期性偏度还可以预测同卵双胞胎对内的投资组合差异。我们的研究结果表明，家庭对冲相关的尾部风险，这是资产定价和投资组合选择模型中的一个重要机制。
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