Juan Arismendi Zambrano, D.Phil. (Ph.D.)
I'm an asset pricing (theoretical/empirical) researcher working in the intersection of predictability, uncertainty of assets (equities/US treasuries--monetary policy), and factor models.
​
I'm Assistant Professor at the University College of Dublin School of Business, Visiting Scholar at Kellogg School of Management, Northwestern University since September 2021, and Visiting Research Fellow from ICMA Centre since 2013.
PROJECTS - TOPICS OF RESEARCH
Equity Risk Premium Predictability
We illustrate the role of left tail dependence variables – left exceedance correlation (LEC) and left tail mean (LTM ) – in equity risk premium (ERP) predictability. LEC and LTM measure the average of pairwise left tail dependency among major equity sectors incorporating shocks that are imperceptible at the aggregate level. LEC and LTM, as well as the variance risk premium, significantly predict the ERP in- and out-of-sample, which is not the case with commonly used predictors. We find this predictability is the result of pro-cyclical shocks in a stable business cycle. This paper contributes to the ongoing debate on ERP predictability.
Diffuse Factors
The results on approximate factor pricing models from Chamberlain and Rothschild (1983) triggered a machinery of theoretical and empirical results based on the natural rate assumption (Connor and Korajczyk ,1986; Stock and Watson, 2002; Bai, 2003). Nevertheless, the natural rate assumption is not required in the original model of Chamberlain and Rothschild (1983), and seems instead too restrictive. In this project we develop statistical tests to estimate the diffuse/sparse vs. strong/semi-strong properties of known factors with an alpha that is allowed to variate below the natural rate.
