题目:  Firm Uncertainty and Household Spending

主讲人：Hoonsuk Park， University of Melbourne

时间: 2021年11月1日上午10：00 – 11：30

举办方式：线上讲座

讲者简介：

Hoonsuk Park joined the Department of Finance at the University of Melbourne in July 2020. He was previously an Assistant Professor of Finance at Nanyang Technological University in Singapore. He received his PhD in Finance from The Ohio State University in 2017. Hoonsuk's research focuses on household finance and behavioral finance. His work has been publisehd in journals including American Economic Review and Journal of Finance. 

Abstract：

By mapping households to US employers traded in the stock market and using daily spending data, we provide novel evidence of household spending response to employer specific forward-looking volatility shocks. A 10 percent change in firm uncertainty leads households to change their average monthly spending over the next 6-months by -0.95 percent. This negative second-moment firm uncertainty effect is larger thanthe positive first-moment effect of firm stock returns. The employer-specific effect is robust to both industry- and aggregate-level volatility effects. The intensity of the response increases in the forecast horizon window, lasting nine months. The response is pronounced for low-liquidity households, and for households that work at firms that recently had low employee growth, high CAPM β, and low Tobin’s Q. Lastly, household spending shows an asymmetric response to ‘good’ and ‘bad’ uncertainty.

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