Consumption Moment Risk Factors and Cross-Section of Long-Run Stock Returns
نویسنده
چکیده
We introduce the multifactor asset pricing model that includes as risk factors the ve Chen et al. (1986) macroeconomic variables along with the rates of change in the rst four cross-sectional consumption moments. The empirical evidence on the pricing of the economic state variables is sensitive to the experimental design, whereas we nd strong evidence that with the limited participation of households in the capital markets the aggregate consumption risk (measured by the rate of change in average consumption) and the background risk in consumption (measured jointly by the rates of change in the higher-order consumption moments) are both signi cantly priced. JEL classi cation: G12
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