Seminar

Seminar
speaker Yicheng Zhu, The Wharton School, University of Pennsylvania time Wednesday, 10 January, 10:00-11:30
place Room 217, Guanghua Building 2

Finance Seminar2020-01)

Topic: A Unified Theory of the Term Structure and the Beta Anomaly

Speaker: Yicheng Zhu, The Wharton School, University of Pennsylvania

Time: Wednesday, 10 January, 10:00-11:30

Location: Room 217, Guanghua Building 2

Abstract:

Existing consumption-based asset pricing framework implies a strong connection between the agent’s risk aversion, elasticity of intertemporal substitution and a preference for early or late resolution of uncertainty. I propose a novel generalized framework which allows for disentangling these three characteristics. I apply this framework to a consumption-based asset pricing model in which the representative agent’s consumption process is subject to rare but large disasters. The calibrated model matches major asset pricing moments, while higher exposure to systematic risks may carry lower risk premia. This is consistent with empirical findings but contradicts existing consumption-based asset pricing theories.

Introduction:

Mr. Yicheng Zhu expects to receive his Ph.D. in Finance from the Wharton School, University of Pennsylvania in May 2020. His research interests include asset pricing, macro-finance and econometrics. Before Wharton, he received his A.M. in statistics from Harvard University and B.Sc. in Mathematics and Applied Mathematics from Yuanpei College, Peking University.

Your participation is warmly welcomed!

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