Vu Nguyen
I'm a Ph.D. candidate in Economics at the University of California, Irvine. My main research interests are Macro-Finance, Asset Pricing, and Financial Economics.
Please find the latest version of my CV here.
Contact: von2@uci.edu
Job market paper:
"Macroeconomic Risk in U.S. Equity and Fixed-Income Securities" [link]Â
I develop an asset pricing model in which investors form behavioral expectations on asset price movements that exhibit stochastic volatility. Investor's preferences consist of macroeconomic-driven non-Gaussian shocks that account for tail events. The one-step ahead predictive distributions of US equity and investment-grade corporate bond returns correctly capture downward spikes during the 2008 financial crisis and the COVID-19 recession. The state update distributions of risky assets provide additional information to the portfolio choice problem, generating higher risk-adjusted returns in the long run.