| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w11026
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| 来源ID | Working Paper 11026
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| Consumption Risk and the Cost of Equity Capital |
| Ravi Jagannathan; Yong Wang
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| 发表日期 | 2005-01-10
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| 出版年 | 2005
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| 语种 | 英语
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| 摘要 | We demonstrate, using data for the period 1954-2003, that differences in exposure to consumption risk explains cross sectional differences in average excess returns (cost of equity capital) across the 25 benchmark equity portfolios constructed by Fama and French (1993). We use yearly returns on stocks to take into account well documented within year deterministic seasonal patterns in returns, measurement errors in the consumption data, and possible slow adjustment of consumption to changes in wealth due to habit and prior commitments. Consumption during the fourth quarter is likely to have a larger discretionary component. Further, given the availability of more leisure time during the holiday season and the ending of the tax year in December, investors are more likely to review their asset holdings and make trading decisions during the fourth quarter. We therefore match the growth rate in the fourth quarter consumption from one year to the next with the corresponding calendar year return when computing the latter's exposure to consumption risk. We find strong support for our consumption risk model specification in the data. |
| 主题 | Financial Economics
; Portfolio Selection and Asset Pricing
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| URL | https://www.nber.org/papers/w11026
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/568661
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推荐引用方式
GB/T 7714 |
Ravi Jagannathan,Yong Wang. Consumption Risk and the Cost of Equity Capital. 2005.
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文件名：
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w11026.pdf
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格式：
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Adobe PDF
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