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[12月11日] 计量金融与大数据分析workshop

发布日期:2020-12-10 10:05    来源:

Intermediary-Based Equity Term Structures((基于中介的股权期限结构)

时间:2020年12月11日(周五)10:00-11:30 am

地点:北京大学经济学院107教室

主持人: (国发院)沈艳、黄卓、孙振庭、张俊妮、胡博

              (经济学院)王一鸣、王熙、刘蕴霆

主讲人:许陈杰

报告摘要:

New empirical facts show that equity term premium is counter-cyclical, while the term structure slope of equity yields is pro-cyclical and switches sign between expansions and recessions. We decompose the term structure of equity yields into an equity term premium component and a mean reversion component about the expected changes in future yields to understand this seemingly contradictive evidence. Although the first component is counter-cyclical, we show the second mean reversion component dominantly drives the pro-cyclical fluctuations of the overall equity yield curve. We propose a financial intermediary-based asset pricing model to quantitatively account for both facts simultaneously. In our model, the mean reversion component is driven by the time-varying tightness of the intermediaries' leverage constraint, and is endogenously strong to account for a negative correlation between equity yield curve and equity term premium.

主讲人简介:

许陈杰:上海财经大学经济学院助理教授,主要研究领域为宏观金融 资产定价,主要研究项目为Idiosyncratic Tail Risk and the Credit Spread Puzzle, job market paper,Learning and the Capital Age Premium, with Kai Li and Chi-Yang Tsou,Intermediary-Based Equity Term Structure, with Kai Li.