| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w13108 |
| 来源ID | Working Paper 13108 |
| Cointegration and Consumption Risks in Asset Returns | |
| Ravi Bansal; Robert Dittmar; Dana Kiku | |
| 发表日期 | 2007-05-17 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | We argue that the cointegrating relation between dividends and consumption, a measure of long run consumption risks, is a key determinant of risk premia at all investment horizons. As the investment horizon increases, transitory risks disappear, and the asset's beta is dominated by long run consumption risks. We show that the return betas, derived from the cointegration-based VAR (EC-VAR) model, successfully account for the crosssectional variation in equity returns at both short and long horizons; this is not the case when the cointegrating restriction is ignored. Our evidence highlights the importance of cointegration-based long run consumption risks for financial markets. |
| 主题 | Econometrics ; Estimation Methods ; Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w13108 |
| 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/570776 |
| 推荐引用方式 GB/T 7714 | Ravi Bansal,Robert Dittmar,Dana Kiku. Cointegration and Consumption Risks in Asset 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 | ||
| w13108.pdf（245KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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