Survey
* Your assessment is very important for improving the workof artificial intelligence, which forms the content of this project
Download Daren Wei - Imperial College London
Transcript
Daren Wei Imperial College Business School South Kensington Campus London, United Kingdom, SW7 2AZ [email protected] +44 (0)790 215 2717 EDUCATION Imperial Collge London, United Kingdom PhD, Finance, 2012 - present • Dissertation Title: Asset Pricing and Macroprudential Policy • Advisors: Harjoat Bhamra, Paolo Zaffaroni, Enrico Biffis King’s Collge London, United Kingdom MSc, Financial Mathematics, Distinction, 2011 University of International Business and Economics, China BSc, Financial Engineering, 2010 RESEARCH INTERESTS Asset Pricing, Macro-Finance, Monetary Policy RESEARCH PAPERS Macroprudential Policy, Difference in Beliefs and Growth: What is the Role of Risk Premia? We propose a model of macroprudential policy interventions in financial markets. We solve a heterogeneous-agent asset pricing model and show that speculation caused by differences in beliefs about expected technology growth increases volatility of asset returns and the equity risk premium, distorts aggregate output and makes individual consumption growth and leisure more volatile. Ex ante however, these distortionary effects are not internalized in individual consumption-leisureportfolio decisions, creating welfare losses. Macroprudential policy helps to offset the distortions, thereby raising welfare. We show that macroprudential policy reduces the equity risk premium and dampens excess volatility caused by speculation, while increasing social welfare under all reasonable probability measures specified by the belief-neutral welfare criteria. Difference in Beliefs and Equity Premium Term Structure, with Harjoat Bhamra We build an equilibrium model to capture downward sloping equity premium term structure. By solving a closed form pricing solution of risky cash flow with different horizon, we find that 1) risk premia is higher for short-maturity claims than for the aggregate stock market; 2) the volatility of equity yields is downward sloping with maturity; 3) the slope of equity premium term structure is pro-cyclical. We decompose the overall effect of any perceived fundamental shocks, and we find the long run risk component decreases in maturity due to difference in beliefs. More specifically, the long run component of risk premium is determined by difference in beliefs. When investors are over-pessimistic about the economic growth, the long run risk premium component is decreasing in maturity as the market weight of those investors is expected to decrease. The mechanism implies that the slope of the market price of risk and the equity premium is pro-cyclical, which is in line with the empirical evidence. PRESENTATIONS AND CONFERENCES Daren Wei Page 2 2017 London Business School TADC CEPR Spring Symposium poster session EFA Doctoral Tutorial EFMA Summer Symposium Asian Financial Association Conference (Seoul) TEACHING EXPERIENCE Imperial College London, UK Teaching Assistant: Stochastic Calculus, MSc, 2013-2016 Asset Pricing and Derivatives, MSc, 2013-2016 Lecturer: Data Analysis Tools, 1st year PhD, 2015 HONORS AND AWARDS Imperial College Business School Scholarship, 2012 - 2016 Best Performance Prize, King’s College London, 2011 COMPUTER SKILLS Matlab, Mathematica, LATEX, Python REFERENCES Prof. Harjoat Bhamra Department of Finance Imperial College Business School [email protected] Prof. Alexander Michaelides Department of Finance Imperial College Business School [email protected] Prof. Paolo Zaffaroni Department of Finance Imperial College Business School [email protected] Prof. Enrico Biffis J. Mack Robinson College of Business Georgia State University [email protected]
