Time/时间：5月23日（周五）10:00-11:30
Venue/地点：Room 501, Jiageng Building 2/嘉庚二号楼501教室
Topic/题目：Leverage Volatility Risk
Speaker/报告人：吴致霆助理教授
Abstract/摘要：
Variations in the volatility of both the primary dealer and broker-dealer leverage are high in recessions. Similar volatility patterns in leverage connect the role of a financial intermediary as both a borrower and a lender using a parsimonious model. Variations in leverage volatility move inversely to future stock returns, leading this intermediary to demand a negative price of risk. When leverage volatility is high in recessions, equity term premiums increase, and the intermediary expects low returns in the future, leading to negatively expected changes in equity yields. Thus, the term structure of equity yield is potentially negative in busts.
About the Speaker/报告人简介：
吴致霆，博士毕业于圣安德鲁斯大学，现任厦门大学财务管理与会计研究院助理教授、硕士生导师。研究兴趣为宏观经济学和财务、会计的交叉应用。