主題：Cumulative Prospect Theory and the Variance Premium（累積前景理論與方差風險溢價）

主講人：Juan-Migule Londono-Yarce，美聯儲經濟學家

日期：2015年9月16日（周三）

時間：下午2:00-3:30

地點：清華Betvictor中文版4号樓101教室

語言：英文

摘要：

Cumulative Prospect Theory (CPT) can explain the variance premium puzzle. We solve an equilibrium model with CPT investors and find that probability weighting plays a key role in generating a substantial variance premium, while loss aversion captures the equity premium. Using GMM on a sample of U.S. equity and index-option returns between 1996 and 2010, our estimates probability distortion parameter implies that real-world investors in option markets distort probabilities significantly, but less so than subjects in lab experiments. In a dynamic setting, probability weighting and time-varying equity return volatility combine to match the observed time-series pattern of the variance premium.

主講人簡介:

Juan-Miguel Londono-Yarce is the economist at Global Capital Markets Section of Federal Reserve Board since 2011. Dr. Yarce received a Ph.D. in Quantitative Finance from Basque Country University in 2009, and a Ph.D. in Business from Tilburg University in 2011. His current research topics are stock and currency variance risk premiums and cumulative prospect theory. His papers have appeared in Jounal of International Money and Finance, Empirical Finance, International Review of Economics and Finance and other leading journals.