科学研究

Tony joined the IBSS Department of Finance at Xi’an Jiaotong-Liverpool University as a Professor in Finance in 2022. He had been a Co-Editor of the Journal of Economic Dynamics and Control (an ABDC A* journal) for ten years (2013-2022). He is also a Senior Editor, Department Editor, Associate Editor, and Guest Editor for several other journals in finance and economics. Tony is an internationally recognized expert in asset pricing, financial market modeling, market microstructure, financial economics, and nonlinear dynamics in finance and economics. His international research profile is attested by his publications in finance and economics, invited contributions to the prestigious Handbook of Financial Markets and Handbook of Computational Economics, numerous keynote talks at international conferences, and many competitively Australian and Chinese research grants. Regarding research impact, RePEc (Research Papers in Economics) Ranking puts Tony in the Top 3% in Asia and China. He has published 1 book, 15 book chapters, and more than 60 papers in journals, including The Journal of Finance, Management Science, Economic Research Journal (经济研究), Journal of Economic Dynamics and Control, Journal of Economic Behaviour and Organization, Macroeconomic Dynamics, and Journal of Banking and Finance. His publications have been cited over 3,600 times in Scopus and 6,000 times in Google Scholar.

We develop a closed-form approach to examine the joint effect of “keeping up with the Joneses” (KUJ) preferences and time-varying sentiment of heterogeneous beliefs on equilibrium asset price dynamics in a two-agent economy. We show that, due to KUJ, sentiment continues to have a significant effect on equilibrium asset price, though the sentiment-driven agent does not survive in the long run. When agents are pessimism on average, the model is able to generate countercyclical equity premiums, procyclical and concave price-dividend ratios, excess and countercyclical stock volatility similar to those observed in the U.S. equity market. In particular, an average of 0.7% (p.a.) underestimation of the expected GDP growth based on the Survey of Professional Forecasts can explain about half of market equity premium. Moreover, the term structure of real interest rates is upward (downward) sloping when the short rate is relatively low (high).