拉斯维加斯9888

Finance Webinar（2022- 03）

Topic: Understanding Negative Risk-Return Trade-offs

Speaker: Aoxiang Yang , University of Wisconsin-Madison

Time: Monday, January 17,10:00-11:30 a.m. Beijing Time

Location: Zoom meeting room

Abstract：

In the data, stock market volatility weakly or even negatively predicts short-run equity and variance risk premia, challenging traditional risk-return trade-offs at the heart of leading asset pricing models. I show that a puzzling negative volatility-risk premia relationship concentrates in high-uncertainty states, which occur about 20% of the time. While at other times, the relationship is strongly positive. I develop a micro-founded learning model in which investors underreact to structural breaks in high-volatility periods and overreact to transitory variance shocks in normal times. The model can successfully explain the novel time-varying volatility-risk premia relationship at short and long horizons. The model can further account for many other data features, such as a robust positive correlation between equity and variance risk premium, the leverage effect, and negative observations of equity and variance risk premia at the onsets of recessions or market distresses.

Biography

杨飞舞, 威斯康星大学麦迪逊分校金融学博士(Minor in Econ)(2017-2022), 北京大学国度发展钻研院经济学硕士 (2013-2016),西安交通大学经济学本科(2009-2013)
。 钻研兴致为资产定价、衍生品市场和宏观金融
。博士期间和导师 Bjorn Eraker 合作的论 文 “The Price of Higher-Order Catastrophe Insurance: The Case of VIX Options” 颁发于金融学顶级期刊The Journal of Finance
。该论文系统性地钻研了VIX Option市 场的定价
，以及 VIX Option 和 SPX Option 之间的联系
，并成立了通常平衡模型来诠释这 些发现
。

Job Market Paper 钻研了文件中持久存在的美国股市 Negative Risk-Return Trade- off Puzzle
。贡献是把Equity Market和Variance Asset Market存在的Puzzle放在一 个框架里会商
。发现两个分歧市场的 Puzzles 都只是集中在一幼部门功夫段和市场环境里
， 并成立平衡模型来诠释上述发现
。此表
，还有一篇 Working Paper 钻研 cross-section 里 公司 Debt Structure 和 Equity Return 的关系
，并成立部门平衡模型来诠释这一发现
。

国际学术会议汇报经历有:AFA、MFA 等
；嵋榻ň:Econometric Society Summer School、Macro-Finance Workshop 等
。曾 co-organize UW-Madison 经济、金融系 的Finance-Macro-International Reading Group
。授课经历有:博士资产定价、MBA财 务金融概论、本科衍生品、本科投资学等
。曾获 “Distinguished Teaching Award”
。

Your participation is warmly welcomed