Advance Notice: the Fourth Session of Noon Sunshine-Young Scholars Seminar (the Spring in 2022)

“Noon Sunshine-Young Scholars Seminar” is a regular academic exchange platform held by School of Finance. It aims to offer valuable occasions of communications among scholars in our college, between teachers and students, the domestic and the oversea. In this semester, we keep our original intention, set off for a new voyage. We will devote ourselves to foster the academic atmosphere in the college, and promoting the academic level for both teachers and students.

The fourth session of “Noon Sunshine-Young Scholars Seminar” for the Spring Semester in 2022 is arranged as follows:

1) Lecture topic

A Production-based Asset Pricing Model with R&D Investment

2) Keynote Speaker: Guo Bin

Associate professor in School of Finance, Nankai University. His research includes asset pricing, macro finance and interest rate maturity structure. His papers have been published in JEDC, JEF and etc.

3) Commentator: Lin Shen

Associate researcher in the Department of Finance, School of Management and Economics, Tianjin University. Before joining Tianjin University, he was a postdoctoral researcher at the Asset Management Research Center of Wudaokou School of Finance. His research includes behavioral finance, asset pricing, information economics and computational experimental finance. His papers have been published in JEDC, JMSE and Journal of Management Sciences.

4) Date

Thursday, April 14th, 2022

5) Time

12:00-13:00

6) Tencent Meeting Code

280-280-484

Abstract

We develop a pure production-based asset pricing model, in which a representative firm conducts R&D investment to increase future productivity. In equilibrium, the marginal cost of R&D investment is equal to the expected marginal revenue of increasing productivity, and the stochastic discount factor is equal to the marginal rate of transformation. We solve the identification problem on the natural productivity from Cochrane (2021) by linking unobservable natural productivity to R&D investment. In addition, our models well fit market return and risk-free rate with plausible parameter values, and do a reasonable job explaining the cross-sectional variation in average stock returns.