Speaker：  JU Gaosheng

Date: 12:00-13:00, 26th October 2021

Venue: Room 306, Tongji Building A

Abstract: 

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.