主题： Time-Varying Ambiguity and Asset Pricing Puzzles（时变模糊与资产定价谜题）
主讲人：施展，俄亥俄州立大学访问助理教授
日期：2015年7月14日（周二）
时间：上午10:00-11:30
地点：德州扑克大小
金融德州扑克大小
4号楼101教室
语言：英文
摘要：
This paper studies the effects of time-varying
Knightian uncertainty (ambiguity) on asset pricing in a Lucas exchange economy.
Specifically, I consider a general equilibrium model where an ambiguity-averse
agent applies a discount rate that is adjusted not only for the current
magnitude of ambiguity but also for the risk associated with its future fluctuations.
As such, both the ambiguity level and volatility help raise asset premia and
accommodate richer dynamics of asset prices. With a novel measure for the
ambiguity level, I show that the estimated model is able to match the key
moments of equity premium and risk-free rate. More importantly, it explains the
credit spread puzzle despite a low default probability. The model also accounts
for a wide range of dynamic asset pricing phenomena, including the procyclical
variation of stock prices, the countercyclical variation of credit spreads, the
long-horizon predictability of stock returns and credit spreads, and the low
correlation between asset prices and consumption growth. Furthermore, the
proposed ambiguity measure is found to exhibit significant predictive power for
excess returns on equities and bonds as well as for corporate yield spreads, a
finding that justifies uncertainty channels highlighted in the model.
主讲人简介:
Zhan
Shi is Visiting Assistant Professor of Finance at The Ohio State University.
Dr. Shi pursued his PhD course work at the Pennsylvania State University Smeal
College of Business after earning a BS in statistics from Fudan University. His
research interests include fixed income, macro-finance, asset pricing and
financial econometrics. Shi’s research has been presented at the American
Finance Association Meeting, Northern Finance Association Meeting, the
Singapore International Conference on Finance and numerous additional
professional conferences. He is the co-author of the chapter “Model Selection
for High-Dimensional Problems” in the Handbook of Financial Econometrics and
Statistics. Shi's research won the Cubist Systematic Strategies PhD Candidate
Award from the WFA, 2014. His teaching experience includes courses on
Derivative Markets as well as Security Analysis and Portfolio Management.
