A Tale of Fear and Euphoria in the Stock Market


10:30 AM - 11:30 AM



  • 时间: 10:30-11:30 pm  (Beijing Time)
  • 日期: Tuesday,  April 16, 2024
  • 地点: MB541
  • 主讲人:Dr. Qian Lin, Wuhan University
  • 主持人:Prof. Conghua Wen


We propose a consumption-based model to explain puzzling unstable, i.e., sometimes positive and sometimes negative, relations between stock market variance with both market risk premia and prices. In the model, market risk premia depend positively (negatively) on “fear” (“euphoria”) variance. Market prices, which decrease with discount rates, correlate negatively (positively) with fear (euphoria) variance. Because it is the sum of fear and euphoria variances, market variance may correlate positively or negatively with expected returns and prices, depending on the relative importance of the two variances. Our empirical results support model’s key assumptions and many novel implications.


Qian Lin is a Distinguished Research Fellow (Tenure-track Professor) of Finance at School of Economics and Management of Wuhan University. Dr. Lin got doctorates of Shandong University, China and Université de Bretagne Occidentale, France.  Dr. Lin has published articles in many academic journals, such as Journal of Financial and Quantitative Analysis, Mathematical Finance, Journal of Economic Dynamics and Control, Economic Theory, Quantitative Finance, Stochastic Processes and their Applications, Science China Mathematics, Advances in Applied Probability.