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IAER Seminar 2022-7: 李君

报告题目:Markup Shocks and Asset Prices

报 告 人:李君

报告时间: 2022年06月24日(周五)15:30-17:00

报告地点:腾讯会议(会议号:179 831 405)



李君,上海交通大学上海高级金融学院助理教授。2018年获法兰克福大学经济学博士学位,主要研究方向是资产定价、宏观经济和金融摩擦。其论文发表在The Review of Financial Studies等期刊。


We explore the asset pricing implications of shocks that allow firms to extract more rents from consumers. These markup shocks directly impact the representative household's marginal utility and the firms’ cash flow. Using firm-level data, we construct a measure of aggregate markup shocks and show that the price of markup risk is negative, that is, a positive markup shock is associated with high marginal utility states. Markup shocks generate differences in risk premia due to their heterogeneous impact on firms. Firms with larger exposures to markup shocks are less risky and have lower expected returns. We rationalize these findings in a general equilibrium model with markup shocks.


腾讯会议号:179 831 405



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撰稿:王杰 审核:齐鹰飞 单位:高等经济研究院