金融与财务学系系列讲座之264期

时间：2022年3月29日（周二）19:00-20:30

Zoom会议号：886 3730 1334

密码： 239762

主题：Smooth Ambiguity, Wealth Dynamics and Asset Prices with Heterogeneous Beliefs

演讲者：刘赫宁教授曼彻斯特大学

摘要：We study a class of endowment economies with long-run risks in which agents have generalized recursive smooth ambiguity preferences and heterogeneous beliefs. The expected growth rate of aggregate consumption consists of a persistent component. Agents cannot observe the component but learn about it via Bayes' rule. Meanwhile, agents hold different beliefs about persistence of the long-run component. By examining a two-agent model, we find that: 1) the consumption share of the agent with the correct belief dominates in the long run, even when both agents have recursive preferences without smooth ambiguity, 2) smooth ambiguity, in conjunction with state uncertainty, generates uncertainty sharing motive that leads to long-run survival of both agents, 3) the time-varying weights of agents and posterior beliefs help explain the time variation of price-dividend ratios in the data, and 4) in a model with an ambiguity-averse agent and an ambiguity-loving agent, both agents survive in the long run if they hold different beliefs.

简介：Hening Liu is a Professor of Finance at Alliance Manchester Business School (AMBS). His research interests include theoretical and empirical asset pricing, financial econometrics and portfolio choice. His recent research has focused on the role of ambiguity preferences in asset pricing, structural estimation of asset pricing models, and general equilibrium models with nonstandard utility preferences.

Hening's research has been published in leading economics and finance journals including the Review of Financial Studies, Journal of Monetary Economics, Journal of Econometrics, Journal of Financial and Quantitative Analysis, Management Science. Hening regularly serves as a reviewer for economics and finance journals including American Economic Review, Journal of Financial and Quantitative Analysis, Journal of Political Economy, Management Science, Review of Financial Studies, Journal of Banking and Finance, Journal of Economic Dynamics and Control, among others.