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
杨遨游, 威斯康星大学麦迪逊分校金融学博士(Minor in Econ)(2017-2022), 北京大学国家生长研究院经济学硕士 (2013-2016),西安交通大学经济学本科(2009-2013)。 研究兴趣为资产定价、衍生品市场和宏观金融。博士时代和导师 Bjorn Eraker 相助的论 文 “The Price of Higher-Order Catastrophe Insurance: The Case of VIX Options” 揭晓于金融学顶级期刊The Journal of Finance。该论文系统性地研究了VIX Option市 场的定价，以及 VIX Option 和 SPX Option 之间的联系，并建设了一样平常平衡模子来诠释这 些发明。
Job Market Paper 研究了文献中恒久保存的美国股市 Negative Risk-Return Trade- off Puzzle。孝顺是把Equity Market和Variance Asset Market保存的Puzzle放在一 个框架里讨论。发明两个差别市场的 Puzzles 都只是集中在一小部分时间段和市场情形里， 并建设平衡模子来诠释上述发明。别的，尚有一篇 Working Paper 研究 cross-section 里 公司 Debt Structure 和 Equity Return 的关系，并建设局部平衡模子来诠释这一发明。
国际学术聚会报告履历有:AFA、MFA 等� ＞刍嵫奥睦�:Econometric Society Summer School、Macro-Finance Workshop 等。曾 co-organize UW-Madison 经济、金融系 的Finance-Macro-International Reading Group。授课履历有: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” 。
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