Changing Variances of Fundamentals and the Behavior of Returns (Economics)

在最近对外汇、期限溢价和股票回报的研究中，不同资产之间事前可预测变动的时变性质已经成为一种经验规律。刘易斯博士将研究基本面变化对这些事前回报的潜在影响。她将通过解决三个基本问题来研究这些影响：(1)在基本面方差发生重大变化期间，不同类型资产的风险溢价是否按照ICAPM所暗示的方向系统地移动？(2)基本面的方差是否足够均值回归，以帮助解释Lewis（1988）中发现的经验难题，即恒定协方差（“beta”）ICAPM在较短而不是较长的视界上被拒绝？(3)如果基本面的方差周期性变化，市场对这些潜在变化的预期是否会加剧收益的时变性质？刘易斯博士将教授国际宏观经济学/金融学博士学位课程。此外，她还将根据自己的研究开展教员研讨会，参加教员会议，为女研究生提供咨询，并为本科生提供商业和政府领域的女经济学家客座演讲。该项目进一步推进了VPW计划的目标，即(1)为女性提供在工程和NSF支持的科学学科中发展职业的机会；(2)通过为在工业、政府和学术机构工作的女性科学家和工程师提供更大的知名度，鼓励女性在科学和工程领域追求职业。通过鼓励妇女参与科学，这是对国家未来科学活力的宝贵投资。

The time-varying nature of ex ante predictable movements across different assets has emerged as an empirical regularity in recent studies of foreign exchange, the term premium, and stock returns. Dr. Lewis will investigate the potential effects upon these ex ante returns from changing variances of fundamentals. She will study these effects by addressing three basic questions: (1) During periods of significant changes in the variance of fundamentals, do risk premia across different types of assets move systematically in the direction implied by the ICAPM? (2) Are the variances of fundamentals sufficiently mean-reverting to help explain the empirical puzzle found in Lewis (1988), that the constant covariance ("beta") ICAPM is rejected at shorter but not longer horizons? (3) If variances of fundamental change periodically, do market expectations of these potential shifts exacerbate the time-varying nature of returns? Dr. Lewis will teach a Ph.D. level course in international macroeconomics/finance. In addition, she will conduct faculty seminars based on her research, attend faculty meetings, counsel women graduate students, and present business and government women economist guest speakers to undergraduate students. This project furthers VPW program objectives which are (1) to provide opportunities for women to advance their careers in engineering and in the disciplines of science supported by NSF and (2) to encourage women to pursue careers in science and engineering by providing greater visibility for women scientists and engineers employed in industry, government, and academic institutions. By encouraging the participation of women in science, it is a valuable investment in the Nation's future scientific vitality.