Research

Consumer & Demand

[1] Risk for Price: Using Generalized Demand System for Asset Pricing 

• I construct a non-parametric pricing kernel with consumption prices and expenditure by decomposing consumer's indirect utility function.

• I estimate the pricing kernel using the variation of expected returns across equity portfolios.  This pricing kernel is more successful than traded-factor models and simple consumption-based models. 

[2] Risk Exposure and Risk Premium of Necessity Price

Firm & Production

[1] Intangible Capital Around the World (joint with Juliana Salomao, Frederico Belo, Maria Ana Vitorino)

• We estimate the Q-theory model with both physical capital and intangible capital in each region. 

• We infer the contribution of intangible capital in firm's market value. It positively predicts equity return.