【本期主题】Rationality and Subjective Bond Risk Premia
We construct and study the cross-sectional properties of survey-based bond risk premiaand compare them to their traditional statistical counterparts. We document largeheterogeneity in skill, identify top forecasters, and learn about the importance of subjectiverisk premia in long-term bonds dynamics. The consensus is not a sucient statisticsof the cross-section of expectations and we propose an alternative real-time aggregatemeasure of risk premia consistent with Friedman’s market selection hypothesis. We thenuse this measure to evaluate structural models and nd support for economies generatingtime-varying bond risk premia via an interaction between a quantity and price of riskchannel.
【报告人】Paul WhelanCopenhagen Business school
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).