【会议时间】2022/01/05 12:00-13:30

【会议主题】Empirical Evidence for Applying S-Shaped Consumption Utility in Consumption-Based Asset Pricing

【会议地点】明辨楼304

【内容提要】 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.

【主讲人信息】鞠高升，复旦大学经济学院副教授，博士毕业于德州农工大学。主要研究方向为资产定价、应用微观经济学和计量经济学。代表性成果发表在Journal of Econometrics, Journal of Business & Economic Statistics 等期刊。主持国家自然科学基金项目一项。