Als Vortragenden dürfen wir Thomas Dangl (Vienna University of Technology) begrüßen.

Er wird sein Paper „Conservative Holdings, Aggressive Trades: Ambiguity, Learning, and Equilibrium Flows” (Co-Autoren Lorenzo Garlappi und Alex Weissensteiner) vorstellen.

Abstract: We propose an equilibrium model of asset prices in which agents learn about the mean and the volatility of the endowment process and differ in their concerns about parameter uncertainty. We show that, in equilibrium, following unexpected bad and good news about economic outcomes (i) uncertainty averse agents increase their risky asset holdings and (ii) the market risk premium rises. These predictions are consistent with observed portfolio flows and risk premia upon profitability surprises. Our model highlights that heterogeneity of preferences and learning about economic uncertainty are key channels for understanding the equilibrium dynamics of portfolio holdings and risk premia following news about economic outcomes.

Das Brown Bag Seminar findet am 15. Juni 2022 hybrid im Raum D3.0.222 von 12:00-13:00 Uhr statt.

Alternativ können Sie dem Talk via Zoom folgen. Um dem Stream beizutreten, folgen Sie bitte diesem Link.