北航经管学院“融实论坛”系列讲座
（2023年第11期，总第52期）
讲座题目：A Tale of Fear and Euphoria in the Stock Market
讲座时间：2023.9.7（周四）16:00-17:30
讲座嘉宾：林乾教授
讲座嘉宾简介
林乾，武汉大学金融学特聘研究员、博士生导师，欧盟玛丽居里学者，先后获法国西布列塔尼大学博士学位和山东大学博士学位，主要研究方向是资产定价、行为金融学、公司金融理论、金融工程、金融科技、金融风险管理、数字金融等，在Mathematical Finance、Economic Theory、Journal of Economic Dynamics and Control等国际期刊上发表论文20余篇，主持国家自然科学基金面上项目和青年科学基金项目，参与三项国家自然科学基金项目。
主持人：部慧副教授
讲座概要
We propose a consumption-based model to explain puzzling unstable relations between stock market variance with both market risk premia and prices. In the model, market risk premia depend positively (negatively) on “fear”(“euphoria”) variance. Market prices, which decrease with discount rates, correlate negatively (positively) with fear (euphoria) variance. Because it is the sum of fear and euphoria variances, market variance may correlate positively or negatively with expected returns and prices, depending on the relative importance of the two variances. Our empirical results support model’s key assumptions and many novel implications.
