The 26th Frontier Forum for Digital Technology and Finance

Topic：

Monetary Policy and Equity Market Risk Premia

Speaker:

Professor Guo Hui

University of Cincinnati

Host:

Professor Zhuang Ziguan

School of Finance, Zhongnan University of Economics and Law

Base for Discipline Innovation in Digital Technology and Modern Finance

Date: December 18, 2023       2:30 PM - 4:00 PM

Location: Wenquan Building South, Room 408

Abstract  

The federal funds rate negatively predicts excess equity market returns because of its dependence on inflation and unemployment. The novel findings lend compelling support to recent monetary asset pricing models and unequivocally validate Fed Chair Jerome Powell’s view: Our policy actions work through financial conditions. And those, in turn, affect economic activity, the labor market, and inflation. Formal variable selection analyses identify monetary policy as a crucial equity premium determinant together with the two most prominent asset pricing state variables, market price multiples and variance. The selected model has stable predictive power and outperforms popular statistical models, including machine learning. 

Speaker

Guo Hui, Professor of Finance at the University of Cincinnati, holds the Briggs Swift Cunningham Chair in Finance and is the Director of the Ph.D. program in the Finance department. He earned his Ph.D. in Financial Economics from New York University. To date, he has published dozens of papers in top international academic journals such as JF, RFS, JFQA, JAR, CAR, and JMCB, and has served as a reviewer for nearly forty leading international academic journals, including AER, JPE, JF, JFE, and RFS.

Sponsor

Base for Discipline Innovation in Digital Technology and Modern Finance

School of Finance, Zhongnan University of Economics and Law

School of Fiscal and Taxation, School of Economics, Wenlan School

School of Statistics and Mathematics, School of Information and Safety Engineering