PhD Thesis Defence, Yapei Zhang, Finance
Congratulations to Dr Yapei Zhang, Finance specialization, who successfully defended her thesis at HEC Paris, on July 2, 2019. Yapei will join the ShanghaiTech University School of Entrepreneurship and Management as Assistant Professor of Finance from summer 2019.
Essays on household finance and asset pricing.
This doctoral thesis consists of three independent papers in household finance and empirical asset pricing. The first two papers are closedly related, use similar data, and investigate the role of labor income risk in portfolio choice. The third paper studies volatility model based on Markov switching multifractal.
The first paper is “Countercyclical Income Risk and Portfolio Choices” (with Sylvain Catherine and Paolo Sodini). Using Swedish administrative panel data on individual's wages and portfolio holdings, we show that countercyclical labor income downside risk reduces households' willingness to invest in financial market.
The second paper is “Seeking Skewness”. Using detailed disaggregated Swedish household administrative data on portfolio holdings and labor income, this paper investigates retail investors’ behavior of seeking skewness in their portfolio choice.
The third paper is “Multifractal Volatility with Shot-noise Component” (with Laurent Calvet).
Based on the Markov Switching Multifractal (MSM) model of Calvet and Fisher (2004), we develop in this paper a discrete-time multifractal volatility model to capture the jump and decay pattern in the volatility process along with other stylized facts.
Professor I. Rosu and Professor H. Langlois, HEC Paris