Topic：Information-driven Volatility

Speaker：Han Jianyu（Assistant Professor，Department of Finance, Boston University）

Host：Chen Li, Assistant Professor, Lingnan College

Time and Date：9:30-12:30, Nov.25, 2022

Venue: Wang Daohan Conference Room，Lingnan Hall

Language: English +Chinese

Tencent meeting: 683-822-783

Abstract:

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.

Profile of the speaker:

Han Jianyu, a master's degree holder from Lingnan College of Sun Yat-sen University in 2015, received his PhD in economics from the University of Hong Kong in 2021. Assistant Professor, Department of Finance, Boston University, from 2021 to present. His research field is macro finance and asset pricing, and he has published papers in top academic journals such as Journal of Financial Economics.