您当前的位置: 首页» 学术活动

刘赫宁|第208期双周学术论坛

作者:     日期:2017-09-21    来源:

  一、主题:Does Smooth Ambiguity Matter for Asset Pricing?

  二、主讲人:刘赫宁,英国曼彻斯特大学金融学教授,在美国北伊利诺伊大学获得经济学硕士和博士学位,暨南大学获得经济学学士学位。他的研究领域包括资产定价、宏观金融、资产组合选择和金融经济学。曾在Journal of Monetary Economics, Review of Financial Studies, Journal of Financial and Quantitative Analysis,  Journal of Economic Dynamics and Control等期刊发表多篇学术论文。

  三、时间:2017年9月22日(周五),12:30-13:30

  四、地点:学院南路校区主教学楼910会议室

  五、主持人:谭小芬,用不了彩16彩票怎么办教授,副院长

 

Abstract: Smooth ambiguity matters. We use the generalized scienti_c method introduced by Gallant and McCulloch (2009) to estimate structural parameters of several consumption-based asset pricing models with smooth ambiguity preferences. Our Bayesian estimation produces structural parameter estimates that deliver semi-nonparametric densities _tted to the market and aggregate consumption data. Our estimation results suggest that 1) the asset pricing model of Ju and Miao (2012) with learning and ambiguity outperforms the long-run risks model of Bansal and Yaron (2004) and Bansal, Kiku and Yaron (2012) in terms of Bayesian model comparison; ambiguity about conditional mean of consumption growth is important for generating a high equity premium and a high variance risk premium, 2) investors prefer earlier resolution of uncertainty even in the presence of ambiguity, which provides support to the long run risks literature, 3) time-varying conditional volatility in consumption is not important for asset pricing once learning about consumption growth regimes is accounted for.