Photo of Darien Huang

Darien Huang

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

Links: CV, Job Market Paper

I am thrilled to join the Johnson Graduate School of Management at Cornell University as an assistant professor of finance.

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

I show that the ratio of gold to platinum prices (GP) reveals variation in risk and proxies for an important economic state variable.  GP predicts future stock returns in the time-series and explains variation in average stock returns in the cross-section.  GP outperforms existing predictors and similar patterns are found in international markets.  Contrary to conventional views of gold as a hedge, gold prices fall in recessions, albeit by less than platinum prices.  GP is persistent and significantly correlated with option-implied tail risk measures.  An equilibrium model featuring recursive preferences, 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

   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