题　目：Learning about Time-Varying Factor Risk Premia

嘉　宾：李隽业 教授  复旦大学管理学院

主持人：杨  彪 助理教授 77779193永利官网

时　间：2024年5月17日（周五）10:00-11:30

地　点：77779193永利官网 徐汇校区安泰楼A511室

内容简介:

The conditional Hansen-Jagannathan bound suggests that for understanding behaviors of asset returns, the stochastic discount factor (SDF) should have a high level of volatility and be heteroskedastic. To accommodate these properties, we model the joint dynamics of factors such that factor risk premia are contributed by factor momentum and factor timing from macro predictors, and factor covariance is time-varying. We assume a Bayesian investor who learns and updates her beliefs in real time and is well informed of fundamental economic restrictions. Taking the Fama-French six factors as the SDF factors, we find strong evidence of factor momentum and factor timing from macro predictors. The high level of the SDF volatility and the heteroskedasticity of the SDF in our model cannot be captured by typical consumption-based asset pricing models.

演讲人简介：

李隽业，意大利博科尼 (Bocconi) 大学经济学博士，复旦大学特聘教授，复旦大学管理学院李达三讲席教授，博士生导师。入选2021年上海海外高层次人次引进计划。他曾为法国埃塞克 (ESSEC) 商学院金融学教授。他目前的研究方向主要包括：实证资产定价、金融计量、机器学习与金融数据分析、及宏观金融。他的研究已发表于国际顶级经济与金融学杂志，如Review of Financial Studies、Journal of Econometrics、Management Science、Journal of Financial and Quantitative Analysis、Journal of Money, Credit and Banking、Journal of Business and Economic Statistics、Journal of Economic Dynamics and Control、Journal of Banking and Finance等。

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