Asset Pricing from Daily Shopper Spending

53 Pages Posted: 22 Mar 2021 Last revised: 8 Jul 2021

See all articles by Kuntara Pukthuanthong

Kuntara Pukthuanthong

University of Missouri, Columbia

Jialu Shen

University of Missouri at Columbia - Department of Finance

Ruixiang Wang

Northeastern University

Date Written: May 1, 2021

Abstract

We propose a novel consumption measure that has a daily frequency and is based on real-time shopping data. Our measure explains the joint equity-premium–risk-free-rate puzzle with a risk aversion coefficient much lower than any other consumption measures. It encompasses other consumption measures in explaining the cross-sectional variation of expected returns on various portfolio and is the only consumption measure that passes Kleibergen and Zhan (Journal of Finance, 2020) robust tests. Our model decomposes consumption shocks into different frequency of volatility and shows that ignoring short-term dynamics and intra-annual fluctuations explains the much higher risk aversion from low-frequency consumption measures.

Keywords: Consumption-based Asset Pricing, Consumption Dynamics, Equity Premium

JEL Classification: C12, E21, E44, G12

Suggested Citation

Pukthuanthong, Kuntara and Shen, Jialu and Wang, Ruixiang, Asset Pricing from Daily Shopper Spending (May 1, 2021). Available at SSRN: https://ssrn.com/abstract=3784142 or http://dx.doi.org/10.2139/ssrn.3784142

Kuntara Pukthuanthong

University of Missouri, Columbia ( email )

Robert J. Trulaske, Sr. College of Business
403 Cornell Hall
Columbia, MO 65211
United States
6198076124 (Phone)

HOME PAGE: https://www.kuntara.net/

Jialu Shen (Contact Author)

University of Missouri at Columbia - Department of Finance ( email )

Columbia, MO 65211
United States

Ruixiang Wang

Northeastern University ( email )

Boston, MA 02115
United States

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