时间：2015年7月3日（周五)14:30-16:00

地点：嘉庚二号楼501教室 

主持人：武霁，财务管理与会计研究院财务学助理教授 

题目：Ambiguity and Financial Uncertainty in a Real Business Cycle Model  

报告人：Hening Liu,Reader (Full Professor) inFinance, University of Manchester 

论文摘要：

Financialuncertainty measured by the risk neutral variance is negatively related to consumption,investment, output and the price-dividend ratio but positively related to futurestock returns and volatilities of consumption growth, investment growth, outputgrowth and stock returns. In addition, the mean and volatility of the variancerisk premium are large and cannot be explained by standard asset pricingmodels. We examine a production-based asset pricing model where productivitygrowth follows a Markov process with time varying conditional mean andvolatility and the representative agent has ambiguity aversion preferences.When the model is calibrated to match unconditional moments of macroeconomicquantities and asset returns, and the dividends dynamics are calibrated to beprocyclical, the model can reproduce the relations between the risk neutralvariance and both the level and variation of quantities and returns observed inthe data. The model can also generate a sizable variance risk premium. 

报告人简介：

Dr. Liu got his Ph.D. andbachelor in Economics from Northern Illinois University and Jinan Universityrespectively. His research interests include Asset Pricing, Macro-Finance,Portfolio Choice, Financial Econometrics. He’s published papers in Journal of Financial and QuantitativeAnalysis, Review of Financial Studies,and etc.