Blackboard | 中文版 | Mail | OA

Seminars & Announcements Present Location:HomeSeminars & Announcements

Financial Department's Lecture

Topic:        Rationality and Subjective Bond Risk Premia

Speaker:Paul Whelan

Time:        10:00 Dec.12 2017

Place:        Room509,Mingde Main Building

Abstract:

We construct and study the cross-sectional properties of survey-based bond risk premia and compare them to their traditional statistical counterparts. We document large heterogeneity in skill, identify top forecasters, and learn about the importance of subjective risk premia in long-term bonds dynamics. The consensus is not a sucient statistics of the cross-section of expectations and we propose an alternative real-time aggregate measure of risk premia consistent with Friedman's market selection hypothesis. We then use this measure to evaluate structural models and nd support for economies generating time-varying bond risk premia via an interaction between a quantity and price of risk channel.

BIO:

Dr. Paul Whelan is an Assistant Professor of Finance at Copenhagen Business school. His research interests are in the areas of theoretical and empirical asset pricing with a specific focus in fixed income markets. Paul has presented at American Finance Association, Western Finance Association, and European Finance Association meetings, and has received several awards for his research, including GARP Risk Management Research Award (2013), AFA Doctoral Student Travel Grant (2013), Q-Group Grant Award (2011), and Carefin-Bocconi Research in Finance Grant Award (2010).