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

二、主讲人：刘赫宁，英国曼彻斯特大学金融学教授，在美国北伊利诺伊大学获得经济学硕士和博士学位，暨南大学获得经济学学士学位。他的研究领域包括资产定价、宏观金融、资产组合选择和金融经济学。曾在Journal of Monetary Economics, Review of Financial Studies, Journal of Financial and Quantitative Analysis, Journal of Economic Dynamics and Control等期刊发表多篇学术论文。

三、时间：2017年9月22日（周五），12：30-13：30

四、地点：学院南路校区主教学楼910会议室

五、主持人：谭小芬，太阳集团tyc539教授，副院长

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.