报告题目：股票市场中的恐惧与狂喜

报告人：林乾 教授(av资源 )

时间：2025年7月3日星期四 上午10:00-11:30

地点：av资源 创新港涵英楼5-8001会议室

报告人简介：

林乾教授，现任职于av资源 金融科技系、博士生导师。曾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、金融工程、金融科技、金融风险管理、数字金融、金融大数据分析、金融人工智能、金融机器学习等，在金融学国际四大顶刊之一Journal of Financial and Quantitative Analysis、Mathematical Finance、Journal of Economic Dynamics and Control、Economic Theory、Stochastic Processes and their Applications Science China: Mathematics等期刊上发表论文20余篇。

摘要：

This talk proposes a consumption-based model to explain puzzling unstable, i.e., sometimes positive and sometimes negative, 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.

av资源

2025年6月25日