一、主题：Source of individual volatility risk premium：empirical results and theoretical models

二、主讲人：李通，suncitygroup太阳新城2010级金融工程2班本科生，suncitygroup太阳新城第一期卓越学术人才培养项目入选者，终期答辩获得二等奖。现保送至北京大学汇丰商学院“北京大学经济学-新加坡国立大学金融工程学双硕士项目”。大学期间，曾获得学业优秀奖学金、学术科研奖学金、骋望奖学金等，曾主持一项北京市级大学生科研创新项目。2012年获得美国大学生数学建模竞赛一等奖。2013年受邀参加世界金融学与银行学研讨会(World Finance &Banking Symposium 2013）并进行论文宣讲。

三、时间：2014年4月21日（周一）18:30-20:00

四、地点：suncitygroup太阳新城沙河校区主教308教室

五、点评人：方意，suncitygroup太阳新城金融学系教师，国际金融研究中心研究员

文章摘要：

This paper examines the determinants of individual volatility risk premium. Using panel data analysis on 1022 stocks, we show a set of firm-specific variables can jointly account for 31.16% of it. It is higher for small and low priced firms, less liquid options, more liquid stocks. We find market volatility risk premium can significantly explain this premium even after controlling firm-level characteristics. We also prove that models either with or without jumps can help interpret individual volatility risk premium.