暨南经院学术系列活动之
经济学系列Seminar第249期
主 题：Firm Heterogeneity in Production-Based Asset Pricing: The Role of Habit Sensitivity and Lumpy Investment
主讲人：吴致霆（圣安德鲁斯大学）
主持人：王彬
会议时间：2021 年 5 月 19 日（周三）下午15:00-16:30
会议工具：腾讯会议（ID：161 244 506；会议密码：202105）
摘要
I study the interaction between lumpy investment and asset prices in both time-series and cross-section. To this end, I work with a variant of habit sensitivity function introduced in Campbell-Cochrane (1999). The model produces 100% equity volatility of data by generating volatile marginal utility under the assumption of non-convex adjustment costs. Second, the model reproduces nearly 100% equity premiums of data because it assigns large weights on precautionary savings and constrained firms, respectively. Furthermore, the model can rationalise considerable size premiums as small firms absorb more productivity risks. Finally, the model matches key macroeconomic moments and the cross-sectional investment rate.
★主讲人简介★
吴致霆，圣安德鲁斯大学经济和金融学院博士候选人。研究方向为资产定价，公司金融和宏观金融。研究成果收录于计量经济学会会议（包括欧洲冬季会议，欧洲夏季会议，亚太地区会议，中国会议，非洲会议等），英格兰银行货币宏观金融会议，计算经济金融年会等著名国际学术会议上。
