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1、DoctoralSeminarinEmpiricalFinanceTopic7Consumption-BasedAssetPricingLecturer:LarsA.LochstoerLondonBusinessSchoolFebruary6,20081MainConceptsIncoursetodate,westudiedexplanationsandevidenceforcross-sectionaldi¤er-encesinexpectedassetreturns(unconditionalandconditional)Wehavealsostudiedtime-va
2、riationinexpectedreturnstothestockmarketHereweaskwhetherconsumption-basedmodelscanexplainlevelsofunconditionalexpectedreturnstoshort-termbondsandthestockmarketRulesofgame:Showthatjointpropertiesofconsumption,assetreturnsarecon-sistentAssumeagents’deriveutilityfromconsumptiononly.Standardmo
3、delsassume1.RepresentativeagentLetmeknowofanyerrors,please.ThesenotesdrawontheexcellentPhDcourseinempirical…nanceItookatBerkeley,taughtbyGregoryR.Du¤ee.Contactinfo:LarsLøchstøer,P222,LondonBusinessSchool,SussexPlace,Regent’sPark,NW14SA,London,UnitedKingdom.E-mail:LLochstoer@london.edu02.Oneco
4、nsumptiongood(allgoodsperfectsubstitutes).EmpiricalcounterpartisServices+Nondurableconsumption.YoucangetthisdatafortheU.S.fromtheBureauofEconomicAnalysis’webpage.Classicconsumption-basedassetpricingmodelsworkwellqualitatively-thesignsofmodelimplicationsgenerallyright.Quantitativelystandardmo
5、delsareadisaster.–StandardmodelsleadtoaSDFasafunctionofaggregateconsumptiongrowthonly.–Basedontheempiricalpropertiesofaggregateconsumption(verysmooth):Riskfreeratetoolow,equitypremiatoohigh,returnstoovolatile,Sharperatiotoohigh,riskaversionneededtoohigh(fromintrospection).MehraandPrescott(1985
6、).–Thus,assetpricingpuzzlesarequantitativepuzzlesMeasurementissues–Consumptionishardtomeasure-noisyestimatesisallwehave–Time-averagingleadstolowercorrelationbetweenstockreturnsonconsump-tiongrowthrates(Working,1950)–Transactioncoststoadjustingconsumption"Solutions"1.Recursiveutility:Separate
7、coe¢cientofintertemporalsubstitutionandriskaversion(Campbell,1999)2.Habitformation:Time-varyingriskaversion(CampbellandCochrane,1999)3.HeterogeneousAgents:–Idiosyncraticlaborincomerisk(Brav,Constantinides,andGezcy,2002)–Limitedmarketpar
