亚眠圣母院大教堂 www.dtuwmf.com.cn 主題：Time-Varying Market Participation, Consumption Risk-Sharing, and Asset Dynamics（時變的市場參與、消費風險共擔與資產動態配置）
We propose a general equilibrium model where heterogeneous risk-averse agents endogenously choose to enter or exit the stock market. We characterize the equilibrium in semi-closed form and present a novel conditional CCAPM. The model implies a pro-cyclical variation in stock market participation. This time-variation gives rise to a countercyclical share of dividend in stockholders’ consumption, which drives the amount of stockholders’ consumption risk counter-cyclically, as opposed to the well-documented pro-cyclical aggregate consumption risk. The price of consumption risk in our model is not only affected by consumption re-distribution of stockholders, but also by the time-variation in stock market participation. We find, under the assumption of time-invariant individual risk aversion, that the latter effect dominates the former, leading to a pro-cyclical price of consumption risk. We provide empirical evidence for both the amount and price of consumption risk dynamics, supporting our theory. Overall, this article shows that it is the countercyclical stockholders’ amount of risk due to time-varying risk-sharing that explains time-varying risk premium, excess volatility, and the price-dividend ratio.
Redouane Elkamhi is an Associate Professor of Finance at Rotman. His research is focused on theoretical and empirical asset pricing. His recent work has been published in leading finance journals. Redouane teaches advanced derivatives and fixed income courses at the Master-level and theoretical asset pricing course at the PhD level. He is also the co-director of the Fintech institute.