| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w12986 |
| 来源ID | Working Paper 12986 |
| Durability of Output and Expected Stock Returns | |
| Joao F. Gomes; Leonid Kogan; Motohiro Yogo | |
| 发表日期 | 2007-03-22 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | The demand for durable goods is more cyclical than that for nondurable goods and services. Consequently, the cash flows and stock returns of durable-good producers are exposed to higher systematic risk. Using the benchmark input-output accounts of the National Income and Product Accounts, we construct portfolios of durable-good, nondurable-good, and service producers. In the cross-section, an investment strategy that is long on the durable-good portfolio and short on the service portfolio earns a risk premium exceeding 4 percent annually. In the time series, an investment strategy that is long on the durable-good portfolio and short on the market portfolio earns a countercyclical risk premium. We explain these findings in a general equilibrium asset-pricing model with endogenous production. |
| 主题 | Microeconomics ; General Equilibrium ; Macroeconomics ; Consumption and Investment ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w12986 |
| 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/570652 |
| 推荐引用方式 GB/T 7714 | Joao F. Gomes,Leonid Kogan,Motohiro Yogo. Durability of Output and Expected Stock Returns. 2007. |
| 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 | ||
| w12986.pdf（289KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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