数字经济与政策智能工信部重点实验室

数字经济与政策智能工业和信息化部重点实验室

Digital Economy and Policy Intelligentization Key Laboratory of Ministry of Industry and Information Technology

【经工讲堂2024年第1期】武汉大学林乾特聘研究员：A Tale of Fear and Euphoria in the Stock Market

报告内容简介：

The talk proposes a consumption-based model to explain puzzling un-stable, i.e., sometimes positive and sometimes negative, relations between stock market variance with both market risk premia and prices. In the model, market risk premia depend positively (negatively) on "fear"("euphoria") variance. Market prices, which decrease with discount rates, correlate negatively (positively) with fear (euphoria) variance. Because it is the sum of fear and euphoria variances, market variance may correlate positively or negatively with expected returns and prices, depending on the relative importance of the two variances. Our empirical results support model's key assumptions and many novel implications.

报告人简介：

林乾，武汉大学金融学特聘研究员（正高）、博士生导师，欧盟玛丽居里学者，获法国西布列塔尼大学博士学位和山东大学博士学位，主要研究方向是资产定价、行为金融学、公司金融理论、金融工程、金融科技、金融风险管理、数字金融等，在Journal of Financial and Quantitative Analysis, Mathematical Finance,Economic Theory、Journal of Economic Dynamics and Control 等期刊上发表论文 20余篇，主持国家自然科学基金面上项目和青年科学基金项目，参与三项国家自然科学基金项目。