教育部人文社科重点研究基地中央财经大学中国精算研究院学术活动

精算论坛第247期讲座

(2024年9月20日)

讲座主题：SENTIMENT AND ASSET PRICE DYNAMICS UNDER KEEPING UP WITH THE JONESES

摘要：We develop a closed-form approach to examine the joint effect of “keeping up with the Joneses” (KUJ) preferences and time-varying sentiment of heterogeneous beliefs on equilibrium asset price dynamics in a two-agent economy. We show that, due to KUJ, sentiment continues to have a significant effect on equilibrium asset price, though the sentiment-driven agent does not survive in the long run. Whenagents are pessimism on average, the model is able to generate countercyclical equity premiums, procyclical and concave price-dividend ratios, excess and countercyclical stock volatility similar to those observed in the U.S. equity market. In particular, an average of 0.7% (p.a.) underestimation of the expected GDP growth based on the Survey of Professional Forecasts can explain about half of market equity premium. Moreover, the term structure of real interest rates is upward (downward) sloping when the short rate is relatively low (high).

报告人：Lei Shi

Dr Lei Shi is a Senior Lecturer in the Department of Applied Finance at Macquarie University Business School. He holds a PhD in Finance from University of Technology Sydney. He has taught Investment, Derivatives and Financial Risk Management in the Bachelor of Applied Finance and in the Master of Banking and Finance at MQBS. His research areas are in asset pricing and portfolio theory. He has published in the Review of Asset Pricing Studies, Journal of Economic Behavior & Organization, Journal of Banking & Finance, and Journal of Economic Dynamics & Control, among others.

讲座时间：2024年9月20日（周五）

上午10:00-11:30

报告地点：沙河二教107

邀 请 人：郑敏