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Dissertations

Human capital, business cycles and asset pricing

Min Wei, 2004
Faculty Advisor: Geert Bekaert

Abstract

I investigate the asset pricing and business cycle implications of a dynamic stochastic general equilibrium model with human capital and education. Key features of the model are (1) a higher consumption risk resulting from the representative agent's desire to smooth leisure and from the short-run inelasticities in physical and human capital investment, and (2) a countercyclical risk aversion induced by shocks to human capital. The model provides a good fit to a number of asset-pricing facts including a low riskfree rate, an upward-sloping yield curve, a higher equity premium, countercyclical dividend yields, and long-horizon predictability of excess stock returns. On the macroeconomic side, the model matches conventional business-cycle statistics as well as a standard model does, while generating a high volatility in hours worked and a negative correlation between the output and the time spent in education, both of which are consistent with the data.

Doctoral Program News

Honigsberg featured in Ideas at Work

The August issue of Ideas at Work features research that doctoral candidate Colleen Honigsberg led in conjunction with Sharon Katz.

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Wazlawek featured in Ideas at Work

Abbie Wazlawek's joint research with Professor Daniel Ames is featured in the June 24th, 2014 edition of Ideas at Work

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Ethan Rouen featured in Ideas at Work

Ethan Rouen's joint research with Professor Dan Amiram is featured in the May 15th, 2014 edition of Ideas at Work

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Rivas Wins Fellowship

The PhD program is proud to congratulate Miguel Duro Rivas, who was awarded the Nasdaq Educational Foundation Doctoral Dissertation Fellowship.

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Wong wins Deloitte Fellowship

We are proud to announce that Yu Ting (Forester) Wong is one of the recipients of the 2014 Deloitte Foundation Doctoral Fellowship in Accounting.

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The PhD Program Congratulates John Yao

PhD student John Yao was a finalist in the 2013 M&SOM (Manufacturing & Service Operations Management) student paper competition.

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Honigsberg Named Postdoctoral Fellow

The PhD program is proud to congratulate Colleen Honigsberg, who was named the Postdoctoral Fellow in Corporate Governance at the Millstein Center at Columbia Law School in October 2013

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