时间：2015年7月3日（周五）14:30-16：00
地点：嘉庚二号楼501教室
主持人：武霁，财务管理与会计研究院财务学助理教授
题目：Ambiguity and Financial Uncertainty in a Real Business Cycle Model
报告人：Hening Liu, Reader (Full Professor) in Finance, University of Manchester
论文摘要：
Financial uncertainty measured by the risk neutral variance is negatively related to consumption, investment, output and the price-dividend ratio but positively related to future stock returns and volatilities of consumption growth, investment growth, output growth and stock returns. In addition, the mean and volatility of the variance risk premium are large and cannot be explained by standard asset pricing models. We examine a production-based asset pricing model where productivity growth follows a Markov process with time varying conditional mean and volatility and the representative agent has ambiguity aversion preferences. When the model is calibrated to match unconditional moments of macroeconomic quantities and asset returns, and the dividends dynamics are calibrated to be procyclical, the model can reproduce the relations between the risk neutral variance and both the level and variation of quantities and returns observed in the data. The model can also generate a sizable variance risk premium.
报告人简介：
Dr. Liu got his Ph.D. and bachelor in Economics from Northern Illinois University and Jinan University respectively. His research interests include Asset Pricing, Macro-Finance, Portfolio Choice, Financial Econometrics. He’s published papers in Journal of Financial and Quantitative Analysis, Review of Financial Studies, and etc.
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