题目: Asset Pricing Based on Micro Consumption
演讲人: 鞠高升(复旦大学经济学院中国经济研究中心 副教授)
时间:2021年10月26日(周二)12:00-13:00
地点:同济大厦A楼306室
摘要:
This paper proposes an estimable asset pricing model that builds upon micro consumption and reference-dependent preference. Central to the model is an S-shaped consumption utility function that is convex below the reference point. The model quantitatively accounts for both low risk-free rates and high equity premiums. The S-shaped consumption utility works by rationalizing the micro-level finding that, for many people, the low quantiles of consumption growth correlate negatively with asset returns.
个人简介:
德州农工大学经济学博士,研究兴趣为宏观金融、应用微观和计量计经学,多篇论文发表在Journal of Econometrics, Journal of Business & Economic Statistics 等期刊。