演講者簡介 : Professor Chi-Yang Tsou received his Ph.D. in Economics from the University of Hong Kong in 2018. He is currently an Assistant Professor at the University of Manchester. His research interests are Empirical and Theoretical Asset Pricing, Macro-finance, and Firm Dynamics.
演講摘要 : Durable capital is harder to finance not only due to its greater down payment, but also because of its larger price risk sensitivities to financial frictions. Our paper examines a novel risk premium channel emerging in general equilibrium, with significant asset pricing implications for understanding equity risk from asset durability. We develop a quantitative general equilibrium model with aggregate uncertainty, where firms optimize over asset durability driven by occasionally binding borrowing constraints. As holding less durable capital provides hedging against aggregate risk, our model helps rationalize the asset durability premium documented in the cross-section of stock returns.
