Jules Tinang

joint seminars
big data and econometrics seminar
finance seminar

Jules Tinang

University of Groningen
Asset pricing with heterogeneous agents: Estimation and inference on international stock markets
Joint with
Roméo Tédongap
Tuesday, November 3 2020| 2:00pm to 3:30pm

Michel Lubrano: michel.lubrano[at]univ-amu.fr
Pierre Michel: pierre.michel[at]univ-amu.fr
Eric Girardin: eric.girardin[at]univ-amu.fr
Christelle Lecourt: christelle.lecourt[at]univ-amu.fr


We find that cross-sectional moments of countries’ consumption growth are useful factors to explain variation in expected returns across international stock market indices. The skewness alone explains 17% of that variation. The first four consumption moments explain a proportion of variation that is similar to the three global Fama-French factors. We also address the weak-identification issue common in linear macro-factor models. Some consumption-based factors happen to be weakly identified and that might constitute a threat to statistical inference for the risk prices in multi-factor models. We find in particular that having one weakly-identified factor in a multi-factor model yields unbounded confidence intervals for all prices of risk.

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