Agenda

26 Feb 2020 12:30

ANNULLATO: Christian Schlag - Non-substitutable consumption growth risk

Meeting Room 1, Campus San Giobbe, Venezia

ANNULLATO


A causa del diffondersi di casi di infezione da Coronavirus 19nCoV, al fine di ridurre la possibilità di contagio, è stata disposta la sospensione di tutte le attività che coinvolgano studenti e/o persone esterne all'università (conferenze, eventi,  seminari, iniziative di divulgazione scientifica) da lunedì 24 febbraio e fino a sabato 29 febbraio.


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Christian Schlag, Goethe-Universität Frankfurt,
with Robert F. Dittmar, Julian Thimme

Abstract: Standard applications of the consumption-based asset pricing model make the assumption that goods and services within the nondurable consumption bundle are substitutes. We estimate substitution elasticities between different consumption bundles and show that households cannot substitute energy consumption by consumption of other nondurable goods or services. As a consequence, energy consumption shows up as a separate factor in the pricing kernel. Cross-sectional variation in energy consumption betas explains a large part of the value premium. Value stocks are typically more energy-intensive than growth stocks and thus riskier, since they suffer more from the oil supply shocks that also affect households.

Language

The event will be held in Italian

Organized by

Dipartimento di Economia (EcSeminars; CVera)

Link

https://www.wiwi.uni-frankfurt.de/abteilungen/finance/lehrstuhl/prof-dr-christian-schlag/team/prof-dr-christian-schlag.html

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