/desautels/channels_item/271 en /desautels/node/87333 <p>On Friday, May 13, members of the Desautels Faculty of Management gathered to celebrate the innovative and impactful research conducted by its scholars. </p> <p>Fifteen professors were on hand to deliver two-minute presentations of their most interesting and research.</p> <p>Before jumping into the presentations, Dean <a href="/desautels/yolande-e-chan">Yolande Chan</a> took the time to highlight this year's Desautels Faculty Scholar awardees. Congratulations to this year's awardees!</p> Fri, 20 May 2022 19:17:35 +0000 ����VR��Ƶ /desautels/node/68566 <p><strong>Authors: </strong>George M. Constantinides and <a href="/desautels/anisha-ghosh"><strong>Anisha Ghosh</strong></a></p> <p><strong>Publication:</strong> <em>Journal of Finance</em>, Vol. 72, No. 1, February 2017</p> <p><strong>Abstract:</strong></p> <p>We show that shocks to household consumption growth are negatively skewed, persistent, countercyclical, and drive asset prices. We construct a parsimonious model where heterogeneous households have recursive preferences. A single state variable drives the conditional cross-sectional moments of household consumption growth. The estimated model fits well the unconditional cross-sectional moments of household consumption growth and the moments of the risk-free rate, equity premium, price-dividend ratio, and aggregate dividend and consumption growth. The model-implied risk-free rate and price-dividend ratio are procyclical, while the market return has countercyclical mean and variance. Finally, household consumption risk explains the cross section of excess returns.</p> <p><strong>Read article: </strong><em><a href="https://onlinelibrary.wiley.com/doi/epdf/10.1111/jofi.12471" target="_blank">Journal of Finance</a></em></p> <p> Thu, 29 Mar 2018 17:39:11 +0000 ����VR��Ƶ /desautels/node/68565 <p><strong>Authors</strong>: <a href="/desautels/anisha-ghosh"><strong>Anisha Ghosh</strong></a>, Christian Julliard, Alex P. Taylor</p> <p><strong>Publication</strong>: <em>The Review of Financial Studies</em>, Volume 30, No. 2, February 2017</p> <p><strong>Abstract: </strong></p> <p>We consider asset pricing models in which the SDF can be factorized into an observable component and a potentially unobservable one. Using a relative entropy minimization approach, we nonparametrically estimate the SDF and its components. Empirically, we find the SDF has a business-cycle pattern and significant correlations with market crashes and the Fama-French factors. Moreover, we derive novel bounds for the SDF that are tighter and have higher information content than existing ones. We show that commonly used consumption-based SDFs correlate poorly with the estimated one, require high risk aversion to satisfy the bounds and understate market crash risk.</p> <p><strong>Read article:</strong> <a href="https://academic.oup.com/rfs/article/30/2/442/2444496" target="_blank"><em>The Review of Financial Studies</em></a></p> <p> Thu, 29 Mar 2018 17:02:10 +0000 ����VR��Ƶ