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计量、金融和大数据分析workshop:Information Driven Volatility
发布日期：2023-05-12 12:00 来源：
主讲人：Hengjie Ai （Professor of Finance at the Wisconsin School of Business and the Department Chair of the Finance Department）
主持老师：（北大经院）王熙
参与老师：（北大经院）王一鸣、刘蕴霆、王法
（北大国发院）黄卓、张俊妮、孙振庭
（北大新结构）胡博
时间：2023年5月12日（周五） 10:00-11:30
会议链接：腾讯会议 963-108-124
报告摘要：
Standard asset pricing models with stochastic volatility predict a robust positive relationship between past realized volatility and future expected returns. Empirical work typically finds this relationship to be negative. We develop an asset pricing model where stock market volatility dynamics are driven by information. We show that under strong generalized risk sensitivity of preferences, information-driven volatility induces a negative correlation between past realized volatility and future expected returns. We provide empirical evidence for the unique implications of the information-driven volatility channel and demonstrate that our model can quantitatively replicate the evidence.
主讲人简介：
Dr . Hengjie Ai holds a Ph.D. degree from the Economics Department of the University of Minnesota. He is currently a Professor of Finance at the Wisconsin School of Business and the Department Chair of the Finance Department. Before joining the Finance Department of the University of Wisconsin, Dr. Ai worked at Duke University as an assistant professor and at the University of Minnesota as an associate professor. He has also held visiting professorships at the University of Chicago, the University of Pennsylvania, and the Goethe University of Frankfurt.
Dr. Ai’s research interests include asset pricing, macroeconomics, and economic theory. His research were published in top economics and finance journals, such as Econometrica, The Journal of Finance, The Journal of Financial Economics, and the Review of Financial Studies. He has been invited to present at major research institutions such as Columbia University, Duke University, MIT, the University of Chicago, and the University of Pennsylvania.
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首页
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计量、金融和大数据分析workshop:Information Driven Volatility
发布日期：2023-05-12 12:00 来源：
主讲人：Hengjie Ai （Professor of Finance at the Wisconsin School of Business and the Department Chair of the Finance Department）
主持老师：（北大经院）王熙
参与老师：（北大经院）王一鸣、刘蕴霆、王法
（北大国发院）黄卓、张俊妮、孙振庭
（北大新结构）胡博
时间：2023年5月12日（周五） 10:00-11:30
会议链接：腾讯会议 963-108-124
报告摘要：
Standard asset pricing models with stochastic volatility predict a robust positive relationship between past realized volatility and future expected returns. Empirical work typically finds this relationship to be negative. We develop an asset pricing model where stock market volatility dynamics are driven by information. We show that under strong generalized risk sensitivity of preferences, information-driven volatility induces a negative correlation between past realized volatility and future expected returns. We provide empirical evidence for the unique implications of the information-driven volatility channel and demonstrate that our model can quantitatively replicate the evidence.
主讲人简介：
Dr . Hengjie Ai holds a Ph.D. degree from the Economics Department of the University of Minnesota. He is currently a Professor of Finance at the Wisconsin School of Business and the Department Chair of the Finance Department. Before joining the Finance Department of the University of Wisconsin, Dr. Ai worked at Duke University as an assistant professor and at the University of Minnesota as an associate professor. He has also held visiting professorships at the University of Chicago, the University of Pennsylvania, and the Goethe University of Frankfurt.
Dr. Ai’s research interests include asset pricing, macroeconomics, and economic theory. His research were published in top economics and finance journals, such as Econometrica, The Journal of Finance, The Journal of Financial Economics, and the Review of Financial Studies. He has been invited to present at major research institutions such as Columbia University, Duke University, MIT, the University of Chicago, and the University of Pennsylvania.
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