The DOI matches its Crossref record.
Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns
Abstract
This paper studies the time-series behavior of asset returns and aggregate consumption. Using a representative consumer model and imposing restrictions on preferences and the joint distribution of consumption and returns, we deduce a restricted log-linear time-series representation. Preference parameters for the representative agent are estimated and the implied restrictions are tested using postwar data.
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Citations
Cited by
FAMA, E. F. (1991) · The Journal of Finance · doi:10.1111/j.1540-6261.1991.tb04636.x · Cited by 5,350
Barsky, R. B., Juster, F. T., Kimball, M. S., & Shapiro, M. D. (1997) · The Quarterly Journal of Economics · doi:10.1162/003355397555280 · Cited by 2,400
Prospect Theory and Asset Prices
Barberis, N., Huang, M., & Santos, T. (2001) · The Quarterly Journal of Economics · doi:10.1162/003355301556310 · Cited by 1,895
Whom or What Does the Representative Individual Represent?
Kirman, A. P. (1992) · Journal of Economic Perspectives · doi:10.1257/jep.6.2.117 · Cited by 1,595
FAMA, E. F. (1991) · The Journal of Finance · doi:10.2307/2328565 · Cited by 1,271
Metadata
- Authors
- Hansen, L. P., & Singleton, K. J.
- Venue
- Journal of Political Economy
- Publisher
- University of Chicago Press
- Published
- 1983-04
- Volume
- 91
- Issue
- 2
- Pages
- 249-265
- ISSN
- 0022-3808 (ISSN-L)
- 1537-534X
- OpenAlex
- W2085647375
- Cited by
- 1,547
- References
- 0
- FWCI
- 72.27
- Type
- journal article
- Language
- en
- Open access
- closed
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How to cite
Cite CoChat for the checks on this page, and the paper for its own findings.
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- CoChat. (2026). Citation check: Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns. https://app.cochat.ai/papers/10.1086/261141
- The paper
- Hansen, L. P., & Singleton, K. J. (1983). Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns. Journal of Political Economy. https://doi.org/10.1086/261141
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
