徐信忠
系别：金融学系
职称：教授
办公电话：86-10-62765135
Email：xuxz@gsm.pku.edu.cn
►个人简介
徐信忠现任北京大学光华管理学院金融学教授。在加入北京大学之前，曾任英国Bank of England货币政策局金融经济学家和英国Lancaster大学管理学院金融学讲座教授。曾任中国金融学年会第一届理事会主席。
他在公司治理，行为金融和金融风险管理和资产定价等领域有多年的研究经验，取得了丰富的研究成果，并在国际和国内一流学术杂志上发表文章16篇。 发表论文的学术期刊包括Journal of Financial Economics, Journal of Financial and Quantitative Analysis, Journal of Banking and Finance, Review of Economics and Statistics.
他的研究成果受到国际同行的认可，发表的论文被大量引用，并获得British Accounting Review 1997最佳论文奖和2002年澳大利亚金融国际会议衍生产品领域的最佳论文奖。本人的研究成果具有极强的实用价值，上述发表的论文已多次被金融应用性书籍转载，并应邀在英格兰银行，瑞士联合银行，日本三菱银行等金融机构作学术演讲。关于隐含波动率期限结构（Term Structure）的学术文章被金融衍生产品的经典教科书《Options, Futures, and other derivatives by John Hull》引用；关于“恋家”倾向的研究成果被《纽约时报》报道。
►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 博士
1988 阿斯顿大学伯明翰 企业管理 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BankofEngland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。
►研究成果
主要研究成果
The Dynamics of International Equity Market Expectations (Co-authored with Michael J.Brennan, H. Henry Cao, Norman Strong), Journal of Financial Economics, forthcoming
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) .
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)
Post-Earning-Announcement Drift in the UK, 2003, European Financial Management, 9(1), 89-116. (Co-authored with W.Liu and N.Strong)
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)
Pricing FTSE 100 Index Options under Stochastic Volatility, 2001, Journal of Futures Markets, 21, 197-211. (Co-authored with Y. Lin and N. Strong).
The Profitability of Momentum Investing, 1999, Journal of Business Finance and Accounting, 26, 1043-1091. (Co-authored with W. Liu and N. Strong)
Do S&P 500 Index Options Violate Martingale Restriction?, 1999, Journal of Futures Markets, 15(5), 499-521. (Co-authored with N. Strong)
The Incremental Volatility Information in One Million Foreign Exchange Quotations, 1997, Journal of Empirical Finance, 4(4), 317-340. (Co-authored with S. Taylor)
Explaining the Cross-section of UK Expected Stock Returns, 1997, British Accounting Review, 29(1), 1-23. (Co-authored with N. Strong) 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)
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)
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)
►教授课程
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
