jianfeng@wharton.upenn.edu

http://assets.wharton.upenn.edu/~jianfeng

Office Contact Information

Home Contact Information

123 S. 39^th Street, Apt D5

Philadelphia, PA 19104

University of Pennsylvania 

 Yale University

    Ph.D. program, 2000-2003 (Dissertation proposal approved)

    M.A. in Statistics, December 2001

 University of Science and Technology of China (USTC)

    B.S. in Statistics, July 2000

Theoretical and Empirical Asset Pricing

Derivative Markets and Financial Engineering, Asset Pricing, Empirical Methods in Finance, Fixed Income Securities

Teaching Assistant, The Wharton School, University of Pennsylvania, 2004-2007

  Investment and Trading (MBA), Corporate Finance (Undergraduate), Empirical Research in Finance (Ph.D.)

 Teaching Assistant, Yale University, 2002~2003

“The Long and the Short of Asset Prices: Using Long Run Consumption-Return Correlations to Test Asset Pricing Models”, job market paper

           This paper examines a new set of implications of existing asset pricing models for the correlation between returns and consumption growth over the short and the long run. The findings suggest that external habit formation models face a challenge in producing two robust facts in aggregate data, namely, that stock market returns lead consumption growth, and that the  correlation between returns and consumption growth is higher at low frequencies than it is at high frequencies. To reconcile these facts with a consumption-based model, I show that one needs to focus on models that contain a "forward looking" consumption component, i.e., models that allow for both trend and cyclical fluctuations in consumption, and that link expected returns to the cyclical fluctuations in consumption. The models by Bansal and Yaron (2004) and Panageas and Yu (2005) provide examples of such models.

 “Technological Growth, Asset Pricing, and Consumption Risk”, (joint with Stavros Panageas)

          In this paper we develop a theoretical model in order to understand co-movements between asset returns and consumption over short and long horizons. We present an intertemporal general equilibrium model featuring two types of shocks: "small", frequent and disembodied shocks to productivity and "large" technological innovations, which are embodied into new vintages of the capital stock. The latter types of shocks affect the economy with lags, since firms need to invest before they can take advantage of the new technologies. The delayed reaction of consumption to a large technological innovation helps us explain why short run correlations between returns and consumption growth are weaker than their long run counterparts. Because of this effect, the model can shed some light into the economic mechanisms that make consumption based asset pricing more successful at lower frequencies.    

 “Investor Sentiment and Mean-Variance Relation”, (joint with Yu Yuan)

          We find that the stock market's expected excess return is positively related to the market's conditional variance in the low-sentiment periods but unrelated to variance in the high-sentiment periods. These findings are consistent with sentiment-driven traders who exit the stock market when they are pessimistic but enter it more aggressively when they are optimistic. We also find that the negative correlation between returns and contemporaneous volatility innovations is much stronger in the low-sentiment periods. The latter result is consistent with the stronger positive ex ante relation in such periods.