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.