主讲人：张元，上海财经大学

题目：Consumer Credit and Asset Prices

参与老师：余昌华、薛思帆

时间：2025年11月4日（周二）上午10:30-12:00（北京时间）

地点：245教室

摘要：

Consumer credit introduces a wedge between consumption and payments. We incorporate this wedge into a standard consumption-based asset pricing framework and solve the equilibrium in closed form. When firms possess market power, the optimal credit contract endogenously embeds long-run consumption risk directly into the pricing kernel in a transparent and analytically tractable way. This mechanism eliminates the need to estimate the stochastic processes for consumption volatility and expected growth. The resulting pricing kernel accounts for a broad set of cross-sectional return patterns and successfully prices a wide range of stock market anomalies.

主讲人介绍：

Dr. Zhang is an Associate Professor of Finance at the Shanghai University of Finance and Economics (SUFE). His research focuses on asset pricing, financial markets, and derivatives. His work has been published in the Review of Financial Studies.

He earned his Ph.D. in Finance from the Swiss Finance Institute at EPFL, Switzerland, and was a visiting Ph.D. student at the MIT Sloan School of Management. At SUFE, he teaches Asset Pricing Theory, Derivatives, and Machine Learning in Finance.