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Essays on Asset Pricing of Consumpti...

Li, Yu,

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Essays on Asset Pricing of Consumption Price /

Record Type:	Electronic resources : Monograph/item
Title/Author:	Essays on Asset Pricing of Consumption Price // Yu Li.
Author:	Li, Yu,
Description:	1 electronic resource (273 pages)
Notes:	Source: Dissertations Abstracts International, Volume: 86-01, Section: B.
Contained By:	Dissertations Abstracts International86-01B.
Subject:	Finance. -
Online resource:	https://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=31332921
ISBN:	9798383221501

Essays on Asset Pricing of Consumption Price /
Li, Yu,

Essays on Asset Pricing of Consumption Price /Yu Li. - 1 electronic resource (273 pages)

Source: Dissertations Abstracts International, Volume: 86-01, Section: B.

My dissertation presents essays related to asset pricing of consumption price. The first chapter Risk for Price: Using Generalized Demand System for Asset Pricing uses the detailed consumption price to measure stochastic discount factor in an economy with heterogeneous consumption sectors. Prices and total expenditure are sufficient statistics of consumer's marginal utility, under general situation of consumer preference. Variations in prices and total expenditure more accurately describe the pricing kernel than the aggregate consumption quantity when consumer preference is non-homothetic. The second chapter Risk Exposure to Price: Asset Pricing of Sector Reallocation uses a parsimonious model to explain the propagation of capital-augmenting productivity shock in consumption price, labor share and consumption distribution in an economy with heterogeneous consumption sectors and limited stock market participation. Equity valuation increases with capital-augmenting productivity shock. One observes the negative risk exposure to price of goods among equity portfolios. Equity portfolios that demonstrate large risk exposure, have high average return.

English

ISBN: 9798383221501Subjects--Topical Terms:

542899
Finance.
Subjects--Index Terms:

Asset pricing

Essays on Asset Pricing of Consumption Price /
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245 1 0 $a Essays on Asset Pricing of Consumption Price / $c Yu Li.
264 1 $a Ann Arbor : $b ProQuest Dissertations & Theses, $c 2024
300 $a 1 electronic resource (273 pages)
336 $a text $b txt $2 rdacontent
337 $a computer $b c $2 rdamedia
338 $a online resource $b cr $2 rdacarrier
500 $a Source: Dissertations Abstracts International, Volume: 86-01, Section: B.
500 $a Advisors: Lin, Xiaoji.
502 $b Ph.D. $c University of Minnesota $d 2024.
520 $a My dissertation presents essays related to asset pricing of consumption price. The first chapter Risk for Price: Using Generalized Demand System for Asset Pricing uses the detailed consumption price to measure stochastic discount factor in an economy with heterogeneous consumption sectors. Prices and total expenditure are sufficient statistics of consumer's marginal utility, under general situation of consumer preference. Variations in prices and total expenditure more accurately describe the pricing kernel than the aggregate consumption quantity when consumer preference is non-homothetic. The second chapter Risk Exposure to Price: Asset Pricing of Sector Reallocation uses a parsimonious model to explain the propagation of capital-augmenting productivity shock in consumption price, labor share and consumption distribution in an economy with heterogeneous consumption sectors and limited stock market participation. Equity valuation increases with capital-augmenting productivity shock. One observes the negative risk exposure to price of goods among equity portfolios. Equity portfolios that demonstrate large risk exposure, have high average return.
546 $a English
590 $a School code: 0130
650 4 $a Finance. $3 542899
650 4 $a Home economics. $3 551902
650 4 $a Applied mathematics. $3 2122814
653 $a Asset pricing
653 $a Consumption price
653 $a Consumer preferences
653 $a Capital-augmenting productivity shock
653 $a Equity portfolios
690 $a 0508
690 $a 0501
690 $a 0272
690 $a 0364
690 $a 0386
710 2 $a University of Minnesota. $b Business Administration. $e degree granting institution. $3 3817711
720 1 $a Lin, Xiaoji $e degree supervisor.
773 0 $t Dissertations Abstracts International $g 86-01B.
790 $a 0130
791 $a Ph.D.
792 $a 2024
856 4 0 $u https://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=31332921