Search Intensity and Asset Prices（搜寻强度与资产价格）
主讲人：Ding Luo (City University of Hong Kong)
Jincheng Tong (University of Toronto)
主持老师：（北大经院）王熙
参与老师：（北大经院）王一鸣、刘蕴霆、王法
（北大国发院）黄卓、张俊妮、孙振庭
（北大新结构）胡博
时间：2023年10月27日（周五） 10:00-11:30
地点（线下）：8797威尼斯老品牌107会议室
报告摘要：
The job search decisions of unemployed workers are forward-looking and shaped by the returns they anticipate from the search process. When expected returns (or discount rates) are high, the discounted benefits from the search process are low. Thus, unemployed workers engage in less intensive job searching. We build a Diamond-Mortensen-Pissarides search model with variable search intensity and Epstein-Zin preferences. We demonstrate that (a) the search return for unemployed workers equals firms' stock return; (b) variable search intensity amplifies both labor market volatilities and stock market risks, relative to fixed search intensity; and (c) search intensity negatively predicts stock market returns in the model, aligning with the data. Variable search intensity exerts two opposing effects on the equity risk premium: it increases the price of risk by increasing the volatility of the stochastic discount factor, and it reduces the quantity of risk by lowering the procyclicality of dividends; quantitatively, the former effect dominates the latter.
主讲人简介：
Ding Luo is an Assistant Professor of Finance at City University of Hong Kong. He received his Ph.D. in finance from University of Minnesota. His research interests include Empirical and Theoretic Asset Pricing, Macro-Finance, Labor, and Dynamic Contracts.
