►徐信忠
行政职务：院长
系别：金融学系
职称：教授
办公电话：86-20-84110198
E-Mail：xuxz9@mail.sysu.edu.cn
►研究领域
公司治理、行为金融、金融工程
►教育背景
1993 英国兰卡斯特大学 金融学博士
1988 阿斯顿大学 工商管理专业硕士
1985 北京大学 地球物理学学士
►职业经历
1991--1993 英国Warwick大学 商学院研究员(Research Fellow)
1993--1998 英国Manchester大学 会计与金融系讲师和高级讲师;
1998--1999 英国Bank of England 货币政策局金融经济学家;
1999--2002 英国Lancaster大学 管理学院高级讲师和讲座教授。
►主要研究成果
1.The Dynamics of International Equity Market Expectations (Co-authored with Michael J.Brennan, H. Henry Cao, Norman Strong), Journal of Financial Economics, forthcoming
2.Forecasting FX Volatility: Inplied Volatilities versus AR(FI)MA Models, Journal of Banking and Finance, forthcoming. (Co-authored with S.Pong, M.Shackleton, and S. Taylor)
3.CAPM, Higher Co-moment and Factor Models of UK Stock Returns, 2004, Journal of Bussiness Finance and Accounting, March. (Co-authored with D.Hung and M. Shackleton)
4.Post-Earning-Announcement Drift in the UK, 2003, European Financial Management, 9(1), 89-116. (Co-authored with W.Liu and N.Strong)
5.Understanding the Equity Home Bias:The Evidence from the Survey Data, 2003, Review of Economics and Statistics, May, 307-312.(Co-authored with N.Strong)
6.Pricing FTSE 100 Index Options under Stochastic Volatility, 2001, Journal of Futures Markets, 21, 197-211. (Co-authored with Y. Lin and N. Strong)
7.The Profitability of Momentum Investing, 1999, Journal of Business Finance and Accounting, 26, 1043-1091. (Co-authored with W. Liu and N. Strong)
8.Do S&P 500 Index Options Violate Martingale Restriction?, 1999, Journal of Futures Markets, 15(5), 499-521. (Co-authored with N. Strong)
9.The Incremental Volatility Information in One Million Foreign Exchange Quotations, 1997, Journal of Empirical Finance, 4(4), 317-340. (Co-authored with S. Taylor)
10.Explaining the Cross-section of UK Expected Stock Returns, 1997, British Accounting Review, 29(1), 1-23. (Co-authored with N. Strong)
11.Conditional Volatility and the Informational Efficiency of PHLX currency Options Markets, 1995, Journal of Banking and Finance, 19(4), 803-821. (Co-authored with S. Taylor)
12.The Term Structure of Volatility Implied by Foreign Exchange Options, 1994, Journal of Financial and Quantitative Analysis, 29(1), 57-74. (Co-authored with S. Taylor)
13.The Magnitude of Implied Volatility Smiles: Theory and Empirical Evidence for Exchange Rates, 1994, Review of Futures Markets, 13(2), 355-380. (Co-authored with S. Taylor)
►主讲课程
2009-2010 研究生金融学概论
2008-2009 本科生国际财务管理
2007-2008 研究生公司财务专题
