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    學術動態
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    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

    【會議時間】2022/01/05 12:00-13:30

    【會議主題】Empirical Evidence for Applying S-Shaped Consumption Utility in Consumption-Based Asset Pricing

    【會議地點】明辨樓304

    【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。

     



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