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来源类型Working Paper
规范类型报告
DOI10.3386/w16073
来源IDWorking 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
URLhttps://www.nber.org/papers/w16073
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/573748
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Nikolai Roussanov. Composition of Wealth, Conditioning Information, and the Cross-Section of Stock Returns. 2010.
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