Three essays on innovation, corporate control and household consumption-based asset pricing

We propose a novel consumption measure that has a daily frequency and is based on real time shopping data. Our measure explains the joint equity-premium‚ risk-free rate puzzle with a risk aversion coefficient much lower than any other consumption measures. It explains the cross-sectional variation of expected returns on various portfolios and is the only consumption measure that passes Kleibergen and Zhan (Journal of Finance, 2020) robust tests. Our model decomposes consumption shocks into different frequencies of volatility and shows that ignoring short-term dynamics and intra-annual fluctuations explains the much higher risk aversion from low-frequency consumption measures. At zip-code level daily consumption, (a) consumption in blue areas suggests higher risk aversion than that in red areas; (b) only Democratic consumption beta explains a variation of cross-sectional returns, and is more sensitive to overall industry performance.