Seminar (Dept. of Finance)

Theme：Asset Pricing with Daily Consumption

Speaker：Haoxi Yang, Associate Professor of Finance, School of Finance, Nankai University

Time：2021-12-24 09:00

Address：Zoom Meeting

Language：Chinese/English

Venue：Zoom Meeting

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

Meeting ID：871 3139 6913

password：1224

ABSTRACT:

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.