| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w9538 |
| 来源ID | Working Paper 9538 |
| Consumption Risk and Cross-Sectional Returns | |
| Jonathan A. Parker; Christian Julliard | |
| 发表日期 | 2003-03-10 |
| 出版年 | 2003 |
| 语种 | 英语 |
| 摘要 | This paper evaluates the central insight of the Consumption Capital Asset Pricing Model (C-CAPM) that an asset's expected return is determined by its equilibrium risk to consumption. Rather that measure the risk of a portfolio by the contemporaneous covariance of its return and consumption growth -- as done in the previous literature on the C-CAPM and the pattern of cross-sectional returns -- we measure the risk of a portfolio by its ultimate consumption risk defined as the covariance of its return and consumption growth over the quarter of the return and many following quarters. While contemporaneous consumption risk has little predictive power for explaining the pattern of average returns across the Fama and French (25) portfolios, ultimate consumption risk is highly statistically significant in explaining average returns and explains a large fraction of the variation in average returns. Aditionally, estimates of the average risk-free real rate of interest and the coefficient of relative risk aversion of the representative household based on ultimate consumption risk are more reasonable than those obtained using contemporaneous consumption risk. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w9538 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/567160 |
| 推荐引用方式 GB/T 7714 | Jonathan A. Parker,Christian Julliard. Consumption Risk and Cross-Sectional Returns. 2003. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w9538.pdf（1306KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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