Time: 2022/12/9(Fri.), 14:00 – 15:30 pm (Beijing Time)

Title: A production-based asset pricing model with R&D investment

About the Speaker:

郭彬，南开大学金融学院副教授。研究方向为资产定价、宏观金融、利率期限结构。多篇论文发表于Journal of Economic Dynamics & Control、Journal of Empirical Finance、Pacific-Basin Finance Journal等国内外期刊。主持多项国家自然科学基金、教育部人文社科基金等课题。

Abstract：

We develop a pure production-based asset pricing model, in which a representative firm conducts research and development (R&D) investment to try to increase future productivity. The firm has to make a trade-off between gain and loss of R&D investment. With the ability that the firm can transform productivity across states of nature, in equilibrium, the marginal loss of R&D investment equals the expected marginal gain of increasing future natural productivity, and the firm’s marginal rate of substitution on R&D investment implies a valid stochastic discount factor. Empirically, our models well fit market excess return and risk-free rate with plausible parameter values, and do a reasonable job explaining the cross-sectional variation in average stock returns.

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