一、主題：Does Smooth Ambiguity Matter for Asset Pricing?

二、主講人：劉赫甯，英國曼徹斯特大學金融學教授，在美國北伊利諾伊大學獲得經濟學碩士和博士學位，暨南大學獲得經濟學學士學位。他的研究領域包括資産定價、宏觀金融、資産組合選擇和金融經濟學。曾在Journal of Monetary Economics, Review of Financial Studies, Journal of Financial and Quantitative Analysis, Journal of Economic Dynamics and Control等期刊發表多篇學術論文。

三、時間：2017年9月22日（周五），12：30-13：30

四、地點：學院南路校區主教學樓910會議室

五、主持人：譚小芬，bevictor伟德官网教授，副院長

Abstract: Smooth ambiguity matters. We use the generalized scienti_c method introduced by Gallant and McCulloch (2009) to estimate structural parameters of several consumption-based asset pricing models with smooth ambiguity preferences. Our Bayesian estimation produces structural parameter estimates that deliver semi-nonparametric densities _tted to the market and aggregate consumption data. Our estimation results suggest that 1) the asset pricing model of Ju and Miao (2012) with learning and ambiguity outperforms the long-run risks model of Bansal and Yaron (2004) and Bansal, Kiku and Yaron (2012) in terms of Bayesian model comparison; ambiguity about conditional mean of consumption growth is important for generating a high equity premium and a high variance risk premium, 2) investors prefer earlier resolution of uncertainty even in the presence of ambiguity, which provides support to the long run risks literature, 3) time-varying conditional volatility in consumption is not important for asset pricing once learning about consumption growth regimes is accounted for.