Seminar Invitation | Th. March 2, 2023 | Stefanos Delikouras | Miami Herbert Business School, University of Miami

02-03-23 web.xrh 0 comment

Department of Banking and Financial Management  University of Piraeus

Academic Seminar Series

Thursday, March 2nd, 2023 / Time: 16:15 – 17:30, Online

Estimating Consumption-based Asset Pricing Models: The Overlooked Joint Testing Problem

Stefanos Delikouras 

Miami Herbert Business School, University of Miami


Evaluating the cross-sectional fit of consumption-based asset pricing models is a joint-testing problem that should simultaneously examine investor preferences, consumption dynamics, and the behavior of the risk-free rate. We formalize this joint-testing problem within a GMM framework that relaxes the canonical CRRA assumption, includes the risk-free rate variance as a target moment, and estimates consumption dynamics with Euler equations. Implementing this novel framework reveals that alternative consumption measures (e.g., garbage, unfiltered consumption) do not address the shortcomings of the consumption-based paradigm. Instead, investor preferences and consumption dynamics are more important for model fit than the choice of consumption data.


Stefanos Delikouras is an Associate Professor of Finance at the Miami Herbert Business School. His research focuses on asset pricing, household portfolio choice, and behavioral finance. His dissertation examines the effect of non-standard preferences on the ability of consumption-based asset pricing models to explain the cross-section of expected returns. His work has been accepted for publication by top finance journals including the Review of Financial Studies, the Journal of Finance, Journal of Financial and Quantitative Analysis, and the Review of Asset Pricing Studies. Stefanos holds degrees from the University of Piraeus, Greece (BA in Banking and Finance), and the University of Michigan (PhD in Finance).


This seminar will be online on Teams. Click here to attend