Consumption Risk and the Cross-Section of Expected Returns

This paper evaluates the central insight of the Consumption Capital Asset Pricing Model (CCAPM) that an asset’s expected return is determined by its equilibrium risk to consumption. Rather than measure the risk of a portfolio by the contemporaneous covariance of its return and consumption growth — as done in the previous literature on the CCAPM and the pattern of crosssectional returns — we measure the risk of a portfolio by its ultimate consumption risk defined as the covariance of its return and consumption growth over the quarter of the return and many following quarters. While contemporaneous consumption risk explains little of the variation in observed average returns across the Fama and French 25 portfolios, ultimate consumption risk at a horizon of three years explains a large fraction of this variation.Consumption Capital Asset Pricing Model, Expected returns, Equity premium, Consumption risk, Consumption smoothing

Consumption Risk and Cross-Sectional Returns

This paper evaluates the central insight of the Consumption Capital Asset Pricing Model (C-CAPM) that an asset's expected return is determined by its equilibrium risk to consumption. Rather that measure the risk of a portfolio by the contemporaneous covariance of its return and consumption growth -- as done in the previous literature on the C-CAPM and the pattern of cross-sectional returns -- we measure the risk of a portfolio by its ultimate consumption risk defined as the covariance of its return and consumption growth over the quarter of the return and many following quarters. While contemporaneous consumption risk has little predictive power for explaining the pattern of average returns across the Fama and French (25) portfolios, ultimate consumption risk is highly statistically significant in explaining average returns and explains a large fraction of the variation in average returns. Aditionally, estimates of the average risk-free real rate of interest and the coefficient of relative risk aversion of the representative household based on ultimate consumption risk are more reasonable than those obtained using contemporaneous consumption risk.

Sobre patrones de consumo y transición energética

Existen abundantes estudios sociales acerca de la transición energética, pero ellos provienen principalmente de países desarrollados. Los estudios en América Latina son incipientes todavía. El desafío de avanzar en la transición ener- gética hacia fuentes renovables de energía y tecnologías limpias supone un cambio en los estilos de vida asociados con los patrones de consumo de energía actual. Este artículo entrega análisis e interpretaciones acerca de orientaciones de universitarios chilenos hacia el consumo sustentable de energía en el hogar y en el transporte. El estudio de patrones socia- les de consumo de energía en una encuesta nacional de estudiantes universitarios nos revela que las orientaciones generales hacia la transición energética son favorables en su retórica, pero no así las orientaciones prácticas hacia pautas de consumo sustentables de energía. Sólo 32% está dispuesto a pagar impuestos “de todas maneras” para subsidiar las energías renova- bles no convencionales (ERNC) y un 41% no evidencia patrones sustentables de consumo energético. En general la apertura hacia patrones sustentables de consumo energético y hacia la transición energética misma es insuficiente. ¿Cómo avanzar en un cambio cultural que posibilite un apoyo mayor a las energías eficientes, limpias y renovables?Palabras claves: consumo sustentable, energía renovables, transición energética, patrones de consumo energético, estudiantes universitario

Orientaciones Hacia la Ciencia y la Tecnología en los Estudiantes Universitarios de Hoy

Las movilizaciones estudiantiles nos hacen preguntarnos acerca de la racionalidad de sus acciones.¿Los encapuchados reflejan lo que son los estudiantes de hoy?En una investigación FONDECYT en curso hemos interrogado a estudiantes universitarios acerca de sus inclinaciones por la ciencia y la tecnología y recogemos algunos datos adicionales en relación a la racionalidad crítica subyacente.Lo observado muestra que los estudiantes universitarios de hoy se inclinan mayoritariamente por opciones favorables al desarrollo de la ciencia y la tecnología y sus representaciones colectivas son racionales y responsables

Optimal Beliefs, Asset Prices, and the Preference for Skewed Returns

Human beings want to believe that good outcomes in the future are more likely, but also want to make good decisions that increase average outcomes in the future. We consider a general equilibrium model with complete markets and show that when investors hold beliefs that optimally balance these two incentives, portfolio holdings and asset prices match six observed patterns: (i) because the cost of biased beliefs are typically second-order, investors typically hold biased assessments of probabilities and so are not perfectly diversified according to objective metrics; (ii) because the costs of biased beliefs temper these biases, the utility costs of the lack of diversification are limited; (iii) because there is a complementarity between believing a state more likely and purchasing more of the asset that pays off in that state, investors over-invest in only one Arrow-Debreu security and smooth their consumption well across the remaining states; (iv) because different households can settle on different states to be optimistic about, optimal portfolios of ex ante identical investors can be heterogeneous; (v) because low-price and low-probability states are the cheapest states to buy consumption in, overoptimism about these states distorts consumption the least in the rest of the states, so that investors tend to overinvest in the most skewed securities; (vi) finally, because investors with optimal expectations have higher demand for more skewed assets, ceteris paribus, more skewed asset can have lower average returns.

Edo in the Manga World: Appare Jipangu! and Early Modern Japanese Literature

This project offers a complete translation of the first volume of the Japanese manga Appare Jipangu! by Yuu Watase. An essay that examines the relationship between the manga\u27s own content and the literature of the Edo period, and an exploration the author’s intentions behind having her story set in that particular time follows the translation. With the historical content in the manga and the general format of manga, the translation of Watase’s work created more intense challenges in naturalizing the original Japanese, some requiring new methods of translation to be utilized. Watase calls her manga an “Edo-style” comedy, and many of the characters, narratives and themes in her story strongly resemble those found in Edo period literature, which she uses to establish the “Edo style” of her manga. Certain aspects of her narrative also seem specifically written to be used an Edo period setting, as if no other setting worked for the characters or situations that Watase wanted to write about. Examining her imitations of Edo literature and translating them into English conveys how and why Edo literature influences modern writers

The Economic Stimulus Payments of 2008 and the aggregate demand for consumption

Households in the Nielsen Consumer Panel were surveyed about their 2008 Economic Stimulus Payment. In estimates identified by the randomized timing of disbursement, the average household׳s spending rose by 10 percent the week it received a Payment and remained high cumulating to 1.5–3.8 percent of spending over three months. These estimates imply partial-equilibrium increases in aggregate demand of 1.3 percent of consumption in the second quarter of 2008 and 0.6 percent in the third. Spending is concentrated among households with low wealth or low past income; a household׳s spending did not increase significantly when it learned about its Payment.Sloan School of ManagementNorthwestern University (Evanston, Ill.). Kellogg School of ManagementUniversity of Chicago. Initiative for Global MarketsNorthwestern University (Evanston, Ill.). Kellogg School of Management. Zell Center for Risk ResearchHarvard University. Laboratory for Applied Economics and Polic

Efficient transduction of primary vascular cells by the rare adenovirus serotype 49 vector

Neointima formation and vascular remodelling through vascular smooth muscle cell migration and proliferation can limit the long term success of coronary interventions, for example in coronary artery bypass grafting (CABG). Ex vivo gene therapy has the potential to reduce unnecessary cell proliferation and limit neointima formation in vascular pathologies. To date the species C adenovirus serotype 5 (Ad5) has been commonly used for pre-clinical gene therapy, however its suitability is potentially limited by relatively poor tropism for vascular cells and high levels of pre-existing immunity in the population. To avoid these limitations, novel species of adenovirus are being tested; here we investigate the potential of adenovirus 49 (Ad49) for use in gene therapy. Transduction of primary human vascular cells by a range of adenovirus serotypes was assessed; Ad49 demonstrated highest transduction of both vascular smooth muscle and endothelial cells. Gene transfer with Ad49 in vascular smooth muscle and endothelial cells was possible following short exposure times (*lt;1hr) and with low MOI which is clinically relevant. Ex vivo delivery to surplus CABG tissue showed efficient gene transfer with Ad49, consistent with the in vitro findings. Luminal infusion of Ad49GFP into intact CABG samples ex vivo resulted in efficient vessel transduction. In addition, no seroprevelance rates to Ad49 were observed in a Scottish cohort of patients from cardiovascular clinics, thus circumventing issues with pre-existing immunity. Our results show Ad49 has tropism for vascular cells in vitro and ex vivo and demonstrate Ad49 may be an improved vector for local vascular gene therapy compared to current alternatives