講座通知——首都金融論壇第152期：Empirical Evidence for Applying S-Shaped Consumption Utility in Consumption-Based Asset Pricing
發布時間：2022-01-04 來源： 作者： [打印] 字號： T T T
【會議主題】Empirical Evidence for Applying S-Shaped Consumption Utility in Consumption-Based Asset Pricing
【內容提要】 This paper shows that consumption-based asset pricing puzzles arise from using globally concave-shaped consumption utility. We empirically find that asset returns correlate negatively with many individuals' low-quantile consumption growth. This finding challenges most mainstream models and supports an asset pricing model based on an S-shaped consumption utility. This new model explains both the low covariance between consumption growth and stock returns and a high equity premium. Moreover, this model shows that applying globally concave-shaped consumption utility mistakenly leads to a positive correlation between risky returns and stochastic discount factors of many individuals, a root for many pricing puzzles.
【主講人信息】鞠高升，復旦大學經濟學院副教授，博士畢業于德州農工大學。主要研究方向為資產定價、應用微觀經濟學和計量經濟學。代表性成果發表在Journal of Econometrics, Journal of Business & Economic Statistics 等期刊。主持國家自然科學基金項目一項。