9号彩票

文字
缩放
增大字体
减小字体
Prof. Lawrence J. Jin, California Institute of Technology:Asset Pricing with Return Extrapolation

([西财新闻] 发布于 :2018-08-01 )

光华讲坛——社会名流与企业家论坛第 5097

 

主题Asset Pricing with Return Extrapolation

主讲人Prof. Lawrence J. Jin, California Institute of Technology

主持人:金融研究院院长 Philip Dybvig教授

时间201886日(星期一)上午10:30-12:00

地点西南财经大学光华校区金融研究院202会议室

主办单位:金融研究院 科研处

 

主讲人简介:

Lawrence J. Jin是美国加州理工大学的助理教授。他在清华大学完成本科学习后,到加州理工大学读硕士,继而在2015年于耶鲁大学深造并取得博士学位。他的研究兴趣有资产定价,行为金融,机构摩擦,金融中介,家庭金融等等。他目前已在Journal of Financial EconomicsReview of Financial Studies等顶尖期刊上发表过学术成果。

主要内容:

We present a new model of asset prices based on return extrapolation. The model is a Lucas-type general equilibrium framework, in which the agent has Epstein-Zin preferences and extrapolative beliefs. Unlike earlier return extrapolation models, our model allows for a quantitative comparison with the data on asset prices. When the agent's beliefs are calibrated to match survey expectations of investors, the model generates excess volatility and predictability of stock returns, a high equity premium, a low and stable risk-free rate, and a low correlation between stock returns and consumption growth. We compare our model with prominent rational models and document their Di erent implications.


☆该新闻已被浏览: 次★

打印本文】 【关闭窗口



友情链接:苹果彩票  易发彩票  丰亿彩票  广发彩票  幸运飞艇