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DTSTART:20260329T010000
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DTSTART;TZID=Europe/Helsinki:20260917T143000
DTEND;TZID=Europe/Helsinki:20260917T153000
DTSTAMP:20261014T140301
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SUMMARY:Eric GHYSELS (UNC Chapel Hill) "Narrative-driven Stochastic Discount Factor Models"
DESCRIPTION:[vc_row][vc_column][vc_column_text]\n[/vc_column_text][/vc_column][/vc_row][vc_row][vc_column][vc_column_text]Séminaire d’Économétrie de la Finance \n14h30 – 15h30 \njeudi 17 septembre 2026 \nSalle 3001 \n  \nEric GHYSELS (UNC Chapel Hill) “Narrative-driven Stochastic Discount Factor Models” \n  \nRésumé : \nWe treat news narratives as state variables that shift beliefs and/or attitudes towards risk\, and consequently determine equilibrium asset prices. More specifically\, the state variables are extracted from a corpus of Wall Street Journal news articles pertaining to topics such as inflation\, recession\, financial fragility\, geopolitics\, etc. The stochastic discount factor depends on the narrative state variables through two channels: (a) a belief distortion channels and (b) shifts in attitudes towards risk. \nHence\, we cover behavioral as well as rational expectation asset pricing models\, where the latter feature news-driven time-varying risk aversion. \n  \nTravail commun : Andrii BABII\, Jonas STRIAUKAS\, Yunchen ZHANG[/vc_column_text][/vc_column][/vc_row]\n
URL:https://crest.science/event/eric-ghysels-unc-chapel-hill-seasonality-in-high-dimensional-data/
LOCATION:3001
CATEGORIES:Financial Econometrics
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