The learning premium

      Department of Systems Engineering and Engineering Management
                             The Chinese University of Hong Kong
Date: 11:30am to 12:30pm, May 10, 2017 (Wednesday)
Title: The learning premium
Speaker: Prof. Maxim Bichuch, Department of Applied Mathematics & Statistics, John Hopkins University
We find equilibrium stock prices and interest rates in a representative-agent model with uncertain dividends' growth, gradually revealed by dividends themselves, where asset prices are rational - reflect current information and anticipate the impact of future knowledge on future prices. In addition to the usual premium for risk, stock returns include a learning premium, which reflects the expected change in prices from new information. In the long run, the learning premium vanishes, as prices and interest rates converge to their counterparts in the standard setting with known growth. The model explains the increase in price-dividend ratios of the past century if both relative risk aversion and elasticity of intertemporal substitution are above one. This is a joint work with Paolo Guasoni.
Maxim Bichuch is an assistant professor at Department of Applied Mathematics & Statistics, John Hopkins University, USA. He received his PhD degree in mathematics from Carnegie Mellon University in 2010. Before he joined JHU, he served as an assistant professor at Worcester Polytechnic Institute. 
Maxim's research focuses utility optimization, market with transaction costs, and counterparty risk valuation adjustments.
This talk is hosted by Prof. Chen, Nan.
Everyone is welcome to attend the talk!
Venue: Room 513,
      William M.W. Mong Engineering Building (ERB),
      The Chinese University of Hong Kong.
SEEM-5202 Website:
Wednesday, May 10, 2017 - 03:30 to 04:30