Financial Engineering Seminar Series - March 28 - Robin Lumsdaine "Wall Street vs. Main Street: A Comparison of Beliefs"

Thursday, March 28, 2013 5:00 pm

Location: Babbio 122


Wall Street vs. Main Street: A Comparison of Beliefs
Robin L. Lumsdaine
American University
ABSTRACT: This paper challenges recent conventional wisdom of a divide between Main Street (the average American consumer) and Wall Street (financial market participants). The views of survey respondents regarding the likelihood of stock index returns exceeding specific thresholds are compared to market views indicated by index options with strikes at analogous thresholds. The econometric specification explicitly addresses some important impediments to using elicited probabilities from survey data. We find that Main Street views track Wall Street views, although the association is not one-for one. In contrast, there is little evidence of a link between Wall Street uncertainty and Main Street uncertainty.
BIO:  Robin Lumsdaine is the Crown Prince of Bahrain Professor of International Finance at American University’s Kogod School of Business. She was previously an Associate Director in the Division of Banking Supervision and Regulation and Head of the Quantitative Risk Management Group at the Board of Governors of the Federal Reserve System. Before joining the Board, Professor Lumsdaine was a Director in the Global Markets Research division of Deutsche Bank where held a number of positions, including Global Inflation-Linked Bond Strategist, Head of Quantitative Flow Research, and Global Econometric Strategist. She has also held positions as Professor of Economics at Brown University, Senior Economist at the President’s Council of Economic Advisers, and Assistant Professor at Princeton University. Professor Lumsdaine holds an Sc.B. in Mathematics from Brown University and a Ph.D. in Economics from Harvard University.
The Financial Engineering Seminar Series is a centerpiece of the graduate Financial Engineering program and the undergraduate Quantitative Finance programs at Stevens Institute of Technology.  Its mandate is to arrange talks on current research and industry trends in financial engineering and quantitative finance that will be of interest to those who work in both industry and academia. This event is co-sponsored by the School of Systems & Enterprises, Financial Engineering Department and the Howe School of Technology, Quantitative Finance Department.