Photo of Darien Huang

Darien Huang

Research Interests: asset pricing, derivatives markets, commodities markets, financial econometrics

Links: CV, Job Market Paper

Contact Information

   Phone: (267) 994-6883

   E-mail: darienh@wharton.upenn.edu

Research Interests

   Asset Pricing, Derivatives Markets, Commodities Markets, Financial Econometrics

Job Market Paper

Gold, Platinum, and Expected Stock Returns

Gold is an important asset in financial markets whose price potentially reflects perceptions of risk in the economy.  Contrary to conventional views of gold as a hedge, gold prices tend to fall in recessions, albeit by less than platinum prices.  I show that the ratio of gold to platinum prices (GP) is a strong predictor of aggregate stock returns: a one standard deviation increase in GP predicts a 6.4% increase in U.S. stock market excess returns over the following year.  GP outperforms existing predictors, and similar patterns are found in international markets.  GP is persistent and significantly correlated with option-implied tail risk measures.  A general equilibrium model featuring time-varying tail risk and shocks to preferences for gold and platinum can quantitatively account for the asset pricing dynamics of equity, gold, and platinum markets, rationalize the return predictability, and explain why gold prices fall in bad times.

Education

   Ph.D., Finance, Wharton School, University of Pennsylvania, 2015 (expected)

   M.A., Statistics, Wharton School, University of Pennsylvania, 2013

   M.A., Finance, Wharton School, University of Pennsylvania, 2012

   B.S.Ec., Finance, Wharton School, University of Pennsylvania, 2008

   B.A., Mathematics and Economics, University of Pennsylvania, 2008

   Minor in Computer Science

Experience

   Analyst, Quantitative Trading, Goldman Sachs, 2008 - 2010

   Summer Analyst, Global Markets, Deutsche Bank, Summer 2007

References

Robert Morris Professor of Banking
Professor of Finance
The Wharton School
University of Pennsylvania
Phone: (215) 898-1241
Nippon Life Professor of Finance
Professor of Economics
The Wharton School
University of Pennsylvania
Phone: +44 (0)20 7594-9195
Assistant Professor of Finance
The Wharton School
University of Pennsylvania
Phone: (215) 746-0005