Asset Pricing with Option-implied Consumption Growth
（使用期权隐含消费增长率的资产定价模型）
主讲人：Jinji Hao（惠灵顿维多利亚大学助理教授）
主持老师：（北大经院）王熙
参与老师：（北大经院）王一鸣、刘蕴霆
（北大国发院）沈艳、黄卓、孙振庭、张俊妮
（北大新结构）胡博
时间：2022年3月4日（周五）10:00-11:30
地点（线上）：腾讯会议：821-482-327，会议密码：无
链接：https://meeting.tencent.com/dm/uUCw3kj798WH
主讲人简介：
Jinji joined Victoria University of Wellington in 2017 after obtaining his PhD from Washington University in St. Louis. Jinji's research interests are in asset pricing, financial intermediation, and derivatives. His paper on shadow banking won the BankScope Prize for the best paper in Banking at the Australasian Finance and Banking Conference. His works have been presented at the AEA Annual Meeting, the Colorado Finance Summit, the Yale Cowles GE Conference, the Conference on Financial Economics and Accounting, SoFiE, CICF, the Reserve Bank New Zealand, among the others. Jinji has been teaching courses for EMBA, Honours, and undergraduates.
摘要：
This paper shows that once the Epstein-Zin recursive preference is assumed in a representative agent model, the market index option prices largely reveal the market subjective beliefs about the distribution of consumption growth and, thus, impose strong restrictions on the specification of consumption growth risk. The asset pricing with this option-implied consumption growth solves the equity premium puzzle, andthe option-implied equity premium predicts the future market returns. The equilibrium risk-free rate not only matches the sample moments but also is highly correlated with the data. The model-implied market conditional volatility not only matches the sample volatility on average but also predicts the future volatility. Finally, the model captures the dynamics of dividend-price ratio and necessarily explains any asset pricing puzzles in the options market.
供稿单位：经济学院金融系
