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余得水

时间:2020-12-23

姓名:

余得水

职称/职务:

副教授、博导

办公地点:

9778818威尼斯财院校区红楼 3号楼205

E-mail:

deshuiyu@hnu.edu.cn

一、个人简介

余得水,湖南省冷水江人,澳大利亚莫纳什大学计量经济学博士,师从澳大利亚社科院院士、莫纳什大学 Donald Cochrane讲席教授高集体。现任9778818威尼斯副教授、博士生导师,主要从事金融计量经济学、股票收益率预测、实证资产定价等领域研究。主持国家自然科学青年项目、教育部人文社科青年项目以及湖南省自然科学基金青年项目。在Financial Management、Journal of Empirical Finance、Economics Letters等高水平期刊发表论文十余篇。入选2024年9778818威尼斯哲学社会科学青年学术提升计划,获2024年9778818威尼斯优秀教师新人奖。


二、教育背景

2017.2 - 2021.5

澳大利亚莫纳什大学,计量经济学博士(导师:高集体, Hsien Kew)

2015.2 - 2016.11

澳大利亚莫纳什大学,应用计量经济学硕士(导师:高集体, Hsein Kew)

2010.9 - 2014.6

新西兰梅西大学,金融学学士

二、工作经历

2020.12 - 2023.12

2024.1—至今

9778818威尼斯 金融科技与工程系 助理教授

9778818威尼斯 金融科技与工程系 副教授

三、研究领域 

金融计量经济学、资产收益率预测、实证资产定价

四、讲授课程

本科生《计量经济学》、研究生《中级计量经济学》

五、科研项目

1. 国家自然科学基金青年项目《股票长期收益率的非线性预测模型:理论与应用》,2024-01至 2026-12,主持

2. 教育部人文社科青年基金项目《基于时变现值模型的股票回报和现金流预测研究:理论与应用》,2022-07至 2025-07,主持

3. 湖南省自然科学基金青年项目《基于函数系数的动态现值理论与股票回报的非线性预测模型研究》,2024-01至 2026-12,主持

六、科研论文

(1)已发表论文:

Yu, D., & Chen, L. (2024). Local predictability of stock returns and cash flows. Journal of Empirical Finance, 77.

Yu, D., & Yan, Y. (2023). Joint dynamics of stock returns and cash flows:A time-varying present-value framework. Financial Management, 52, 513–541.

Yu, D., Huang, D., & Chen, L. (2023). Stock return predictability and cyclical movements in valuation ratios.Journal of Empirical Finance, 72, 36-53.

Yu, D., & Huang, D. (2023). Cross-sectional uncertainty and expected stock returns. Journal of Empirical Finance, 72, 321-340.

Yu, D., Chen, L., & Li, L. (2023). Time-varying predictability of the long-horizon equity premium based on semiparametric regressions.Economics Letters, 111033.

Yu, D., Chen, L., & Li, L. (2023). Nonparametric modeling for the time-varying persistence of inflation.Economics Letters, 111040.

Yu, D., Huang, D., Chen, L., & Li, L. (2023). Forecasting dividend growth: The role of adjusted earnings yield.Economic Modelling, 106188.

(2)返修论文:

Yin, X., Yu, D., &Chen, L. (2024). The time-varying pollution premium. R&R,Journal of Banking & Finance.

Yu, D., & Huang, D. (2024). Option-implied idiosyncratic skewness and expected returns: Mind the long run. R&R, Journal of Empirical Finance.  

Yu, D., & Yan, Y. (2024). A system of semiparametric time-varying models for predictive regressions. R&R,  Journal of Empirical Finance.  

(3)工作论文:

Yu, D. & Yin, X. (2024). Persistent and transitory components of monetary policy uncertainty: Implications for bond return prediction. Submitted to Review of Asset Pricing Studies.

Yu, D., Huang, D, & Yin, X. (2024). Market-based short-rate uncertainty and time-varying expected returns.  Submitted to Review of Finance.

Li, L., Yin, X. & Yu, D. (2024). On the time-varying relation between monetary policy uncertainty and bond risk premium.  Submitted to Financial Review.

Yu, D., & Chen, L. (2024).  What drives fluctuations in the debt-to-output ratio? A localized variance decomposition framework.

Yu, D., & Chen, L. (2024).   Mean Reversions in the debt-to-output ratio and predictability of nominal government debt returns, surpluses, and inflation rates.

Yu, D., & Zhou, W. (2024). Present-value model with functional coefficients.