Jules Tinang

big data and econometrics seminar
finance seminar
à distance

Jules Tinang

University of Groningen
Asset pricing with heterogeneous agents: Estimation and inference on international stock markets
Co-écrit avec
Roméo Tédongap
Mardi 3 novembre 2020| 14:00 - 15:30

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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