Stock returns with consumption and illiquidity risks
نویسندگان
چکیده
منابع مشابه
Consumption, Aggregate Wealth and Expected Stock Returns
This paper studies the role of detrended wealth in predicting stock returns. We call a transitory movement in wealth one that produces a deviation from its shared trend with consumption and labor income. Using U.S. quarterly stock market data we find that these trend deviations in wealth are strong predictors of both real stock returns and excess returns over a Treasury bill rate. We also find ...
متن کاملPolicy risks, technological risks and stock returns: New evidence from the US stock market ¬リニ
a r t i c l e i n f o Keywords: Stock returns Policy risks Technological risks US stock market This study examines the role of policy and technological risk on U.S. stock returns. The results will highlight the effect of economic policy uncertainty on stock returns, given that such uncertainty rose to historically high levels after the recession of 2007–2009. In our case, uncertainty is related...
متن کاملContrarian flows, consumption and expected stock returns ¬リニ
We investigate the relation between contrarian flows, consumption growth, and market risk premium. We construct a contrarian flows measure by summing up the capital flows to stocks that go against the total flow of the aggregate market. We show that the contrarian flows are negatively influenced by the same-quarter consumption growth. During bad times, the majority of investors who are affected...
متن کاملCash Flow, Consumption Risk and Cross Section of Stock Returns
This paper directly links the risk premium on an asset to two characteristics of its underlying cash flow: cash flow covariance with aggregate consumption; and cash flow duration, which measures the temporal pattern of the cash flow. Their impact on the cross-sectional variation of risk premia can be largely captured by a two-factor cash flow model. While cash flow covariance is of firstorder i...
متن کاملA Consumption-Based Explanation of Expected Stock Returns
When utility is nonseparable in nondurable and durable consumption and the elasticity of substitution between the two consumption goods is sufficiently high, marginal utility rises when durable consumption falls. The model explains both the crosssectional variation in expected stock returns and the time variation in the equity premium. Small stocks and value stocks deliver relatively low return...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: International Review of Economics & Finance
سال: 2014
ISSN: 1059-0560
DOI: 10.1016/j.iref.2013.04.003