On Oct. 26, Prof. Ravi Bansal at Duke University was invited to present an academic report addressing the theme of “Long Run Risks and Uncertainty Aversion in Macro-Announcements” at TSINGHUA Forum.

In his speech, the role of long-run risks in determining risks in capital market was brought up by Prof. Bansal for discussion. He also presented a framework to study the response of asset prices to pure news events—pre-determined macro-announcements, and a dynamic model where uncertainty-averse investors learn about the unobserved law of motion of aggregate consumption from both the realizations consumption and prescheduled news announcement. It is showed that the risk-premium increases during the period before the pre-determined news announcement, peaks at the time of news announcement and drops thereafter.

Ravi Bansal is J.B. Fuqua Professor of Finance at the Fuqua School of Business, Duke University where he also serves as the director of the finance Ph.D. program. He is also a research associate of the National Bureau of Economic Research. Bansal conducts research that focuses on asset pricing, long run risks, money and liquidity, and more recently on climate change from the perspective of financial economics. His papers have appeared in leading journals, including the Journal of Finance, Review of Economic Studies, Journal of Political Economy, Review of Financial Studies, American Economic Review, and Journal of Econometrics. His works on Long-Run Risks received the Smith Breeden Distinguished paper award and is acknowledged in the scientific background article for the 2013 Nobel Prize in Economics.