Date & Time：June 26, 2019 10:00 - 11:30 a.m.
Venue：SEM411 Meeting Room
Speaker：Te Bao (Nanyang Technology University)
Inviter：Jianfeng Xu
Abstract：
This paper tests the theoretical prediction by Epstein and Schneider (2008) on how ambiguous signals and ambiguity aversion influence individual expectations and asset prices in experimental financial markets. We find that in line with the theoretical prediction, the subjects' expected variance of the ambiguous signals is positively correlated with their degree of ambiguity aversion. The distribution of the excess return of the asset exhibits negative skewness, and the price volatility is significantly larger under ambiguous signals. Our findings provide supportive evidence that ambiguous information and ambiguity aversion may be a source of the negative skewness and excess volatility in financial markets.
Speaker Biography：
Te Bao, Ph.D. in economics of the University of Amsterdam, assistant professor of economics in Nanyang Technology University. His research fields are experimental economics, behavioral finance, real estate economics and contract theory. His papers are published in Economic Journal, European Economic Review, Journal of Economics Behavior and Organization, Journal of Economic Dynamics and Control and other international journals as well as major Chinese journals like Economic Research Journal and Journal of World Economy. He served as the anonymous reviewers for journals like Economic Inquiry, Journal of Economic Behavior and Organization, Journal of Economic Dynamics and Control, Journal of Risk and Uncertainty. He was appointed a Member of Advisory Council of Society of Computational Economics in 2018. He received 2014 outstanding book chapters award from Emerald Publishing Group and the nomination award for 2015 Tsien Hsueshen Award for Urban Studies.
