Finance Seminar with Andrea Buraschi, Imperial College London
The Department of Finance is proud to announce the upcoming seminar with Andrea Buraschi, Imperial College London.
Andrea Buraschi will present:
We construct and study the cross-sectional properties of survey-based bond risk premia and compare them to their traditional statistical counterparties. We document large heterogeneity in skill, identify top forecasters, and learn about the importance of subjective risk premia in long-term bonds dynamics. The consensus is not a sufficient statistics of the cross-section of expectations and we propose an alternative real-time aggregate measure of risk premia consistent with Friedman's market selection hypothesis. We then use this measure to evaluate structural models and find support for heterogeneous belief economies generating time-varying risk premia via both a quantity and price of risk channel.
Solbjerg Plads 3, 2000 Frederiksberg