财务与金融系学术讲座系列2021年第18讲

主 题：日度消费与资产定价

主讲人: 杨昊晰（金融学副教授，南开大学金融学院）

协调人: 李晨煦

时 间：2021-12-24 09:00

地 点：Zoom会议室

语 言：中英文

地点： Zoom会议室

https://zoom.us/j/87131396913?pwd=bGl0KzE5azJFZ1kreC80YkpYV25YZz09 

会议 ID：871 3139 6913

密码：1224

讲座摘要:

This study documents that a novel measure of consumption, the daily aggregate consumption of Chinese online customers, is more volatile and more correlated with stock returns than canonical measures of consumption, personal expenditure on nondurable goods and services. Even constructing the equity premiums via different major Chinese equity indexes such as SZ50, HS300, and ZZ500, a daily online consumption capital asset pricing model matches the Chinese equity premiums with relative risk aversion of less than 10. Further evidence indicates that the online consumption growth is priced in the cross section of individual stocks, size, value, industry portfolios, and the commodity futures.

主讲人简介:

杨昊晰，南开大学金融学院副教授。毕业于意大利Boccconi University, 取得金融学博士学位。主要研究方向包括：资产定价、宏观金融、金融计量以及金融风险管理等。主要研究成果曾发表在Journal of Business & Economic Statistics，IMF Economic Review，《经济研究》等国内外学术期刊。主持国家自然科学基金项目一项，曾荣获天津市社会科学成果二等奖。