Jules Tinang

big data and econometrics seminar
finance seminar

Jules Tinang

University of Groningen
Can moments of consumption growth explain risk premium variation across international stock markets?
Co-écrit avec
Roméo Tédongap
Lieu

IBD Salle 21

Îlot Bernard du Bois - Salle 21

AMU - AMSE
5-9 boulevard Maurice Bourdet
13001 Marseille

Date(s)
Mardi 3 novembre 2020| 14:00 - 15:30
Contact(s)

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

Résumé

We find that consumption-weighted cross-sectional moments of countries' con-sumption growth are useful factors to explain variation in expected returns across international stock market indices. The skewness alone explains 32% of that vari-ation. The first four moments explain a higher proportion compared to the three global Fama-French factors. However, these positive results are contrasted by two facts. First, identification of the prices of risk is rejected; second, prices of risk are not statistically significant and the factors explain only 2.5% of the variability of the ex-post model-free stochastic discount factor extracted from the asset menu.