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Alexi Savov Ph.D. Candidate in Finance |
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Research in progress
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. |
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Research interests
Consumption-based asset pricing, especially non-market consumption. Empirical Finance |
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Experience
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