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来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w16073 |
来源ID | Working Paper 16073 |
Composition of Wealth, Conditioning Information, and the Cross-Section of Stock Returns | |
Nikolai Roussanov | |
发表日期 | 2010-06-10 |
出版年 | 2010 |
语种 | 英语 |
摘要 | Value stocks covary with aggregate consumption more than growth stocks during periods when financial wealth is low relative to consumption. However, the conditional value premium does not exhibit such countercyclical behavior. Consequently, a one-factor conditional consumption-based asset pricing model can be rejected without making any arbitrary assumptions on the dynamics of the price of risk or the conditional moments. Empirical evidence is somewhat more consistent with a consumption-based model augmented with an aggregate wealth growth factor, which can be motivated by either recursive preferences or relative wealth concerns. |
主题 | Econometrics ; Estimation Methods ; Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing |
URL | https://www.nber.org/papers/w16073 |
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/573748 |
推荐引用方式 GB/T 7714 | Nikolai Roussanov. Composition of Wealth, Conditioning Information, and the Cross-Section of Stock Returns. 2010. |
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文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
w16073.pdf(1034KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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