Asset Pricing from Daily Shopper Spending

65 Pages Posted: 22 Mar 2021 Last revised: 17 Apr 2023

See all articles by Kuntara Pukthuanthong

Kuntara Pukthuanthong

University of Missouri, Columbia

Jialu Shen

University of Missouri at Columbia - Department of Finance

Ruixiang Wang

Clark University - Graduate School of Management

Date Written: October 4, 2022

Abstract

We propose a novel consumption measure that has a daily frequency and is derived from real-time shopping data. Our measure solves the joint equity premium and risk-free rate puzzles with a risk aversion coefficient much lower than any other consumption measure. It can explain the cross-sectional variation in expected returns on various portfolios and individual stocks. By decomposing consumption shocks into different frequencies of volatility, our model demonstrates that the lack of short-term dynamics and intra-annual fluctuations in low-frequency consumption measures results in significantly higher levels of risk aversion.

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 (October 4, 2022). 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

Clark University - Graduate School of Management ( email )

950 Main Street
Worcester, MA 01610
United States

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