报告题目：Information-Driven Volatility

报 告 人：Hengjie Ai（Wisconsin University）

报告时间：2023年4月25日（周二）9:00-10:30 

报告地点：ZOOM平台在线交流（会议ID：938 5703 5239）

ZOOM App下载链接：//zoom.us/download, 亦可点击以下链接直接参加会议：//ucincinnati.zoom.us/j/93857035239

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【报告人简介】

Dr. Hengjie Ai holds a Ph.D. degree from the Economics Department of the University of Minnesota. Before joining the Finance Department of the University of Wisconsin, Dr. Ai worked at Duke University as an assistant professor and the University of Minnesota as an associate professor. He has also held visiting professorships at the University of Chicago, the University of Pennsylvania, and the Geothe University of Frankfurt.

Dr. Ai’s research interest includes asset pricing, macroeconomics, and economic theory. His previous research studies how financial market frictions such as moral hazards and lack of contract enforcement affect the macroeconomy and stock market valuations. He has written several papers on this topic that were published in top economics and finance journals, such as Econometrica and the Review of Financial Studies. His recent work focuses on how monetary policy and monetary policy communication affect stock market valuations. His work on this topic was also published in top journals, such as Econometrica and the Journal of Financial Economics. He was invited to present at major research institutions such as Columbia University, Duke University, MIT, University of Chicago, and the University of Pennsylvania.

Dr. Ai has taught at the undergraduate, MBA, and Ph.D. levels. He received an outstanding teaching award at the University of Minnesota in 2021 for his contribution to the Master of Finance program. He has advised several Ph.D. students in the past who have been placed at major research institutions such as the University of Toronto, Boston University, University of British Columbia, and the Hong Kong University of Science and Technology.

Dr. Ai has served as the program chair and as the president of the Midwest Finance Association. He is currently the chair of the advisory board and the chair of the nominating committee of the Midwest Finance Association. He has also served twice as a member of the nominating committee of the American Finance Association. Dr. Ai is a member of the Foundation for the Advancement of Research in Financial Economics, a society that awards the best papers in financial economics every two years.

【内容摘要】

Standard asset pricing models with stochastic volatility predict a robust positive relationship between past realized volatility and future expected returns. Empirical work typically finds this relationship to be negative. We develop an asset pricing model where stock market volatility dynamics are driven by information. We show that under strong generalized risk sensitivity of preferences, information-driven volatility induces a negative correlation between past realized volatility and future expected returns. We provide empirical evidence for the unique implications of the information-driven volatility channel and demonstrate that our model can quantitatively replicate the evidence.

撰稿：赵鹏辉  审核：史永东  单位：bet365中国备用网址