Alexi Savov Ph.D. Candidate in Finance asavov@chicagobooth.edu
Research in progress Asset Pricing with Garbage Forthcoming, The Journal of Finance A new measure of consumption—garbage—is more volatile and more correlated with stocks than the standard measure, NIPA consumption expenditure. A garbage-based CCAPM matches the U.S. equity premium with relative risk aversion of 17 versus 81 and evades the joint equity premium-risk-free rate puzzle. These results carry through to European data. In a cross section of value, size and industry portfolios, garbage growth is priced and drives out NIPA expenditure growth. Internet Appendix Slides
Research interests Consumption-based asset pricing, especially non-market consumption. Empirical Finance
Experience Curriculum Vitae