演讲主题：On the Stock Market Variance-Return or Price Relations: A Tale of Two Variances

 主 讲 人：林乾武汉大学助理教授

 时    间：2018年5月17日（星期四）10:00-11:30

 地    点：文泉楼南106会议室

讲座摘要：Stock market variance-return or price relations are sometimes negative and sometimes positive. We explain these puzzling findings using a consumption-based asset pricing model of two shocks. Conditional equity premium depends positively on the variance of disembodied technological (DT) shocks, and negatively on the variance of investment-specific technological (IST) shocks under some parameterizations. Therefore, market prices decrease (increase) with DT (IST) variance. Because market variance is the sum of DT and IST variances, its relation to market returns or prices can be negative or positive, depending on relative importance of two variances. Our empirical results support model's main implications.

演讲者简介：林乾，武汉大学金融学助理教授，2012年获法国西布列塔尼大学博士学位和山东大学博士学位，2012年至2014年在德国比勒费尔德大学从事博士后研究工作。研究领域为金融数学与金融工程，在《中国科学：数学》（英文版）、Stochastic Processes and their Applications等国内外主流学术期刊发表论文十余篇。目前主持国家自然科学基金以及中央高校基本科研业务费项目等多项科研基金。