The DOI matches its Crossref record; 44 of the 44 references it cites were found in a registry or an index.
Consumption Risk and the Cross Section of Expected Returns
Open accessAbstract
This paper evaluates the central insight of the consumption capital asset pricing model that an asset’s expected return is determined by its equilibrium risk to consumption. Rather than measure risk by the contemporaneous covariance of an asset’s return and consumption growth, we measure risk by the covariance of an asset’s return and consumption growth cumulated over many quarters following the return. While contemporaneous consumption risk explains little of the variation in average returns across the 25 Fama‐French portfolios, our measure of ultimate consumption risk at a horizon of three years explains a large fraction of this variation.
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Citations
Cites
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
The Cross‐Section of Expected Stock Returns
FAMA, E. F., & FRENCH, K. R. (1992) · The Journal of Finance · doi:10.1111/j.1540-6261.1992.tb04398.x · Cited by 17,261
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Risk, Return, and Equilibrium: Empirical Tests
Fama, E. F., & MacBeth, J. D. (1973) · Journal of Political Economy · doi:10.1086/260061 · Cited by 14,258
Large Sample Properties of Generalized Method of Moments Estimators
Hansen, L. P. (1982) · Econometrica · doi:10.2307/1912775 · Cited by 13,467
A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix
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Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles
Bansal, R., & Yaron, A. (2004) · The Journal of Finance · doi:10.1111/j.1540-6261.2004.00670.x · Cited by 4,242
Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence
Hall, R. E. (1978) · Journal of Political Economy · doi:10.1086/260724 · Cited by 3,573
An intertemporal asset pricing model with stochastic consumption and investment opportunities
Breeden, D. T. (1979) · Journal of Financial Economics · doi:10.1016/0304-405x(79)90016-3 · Cited by 2,692
Cited by
… and the Cross-Section of Expected Returns
Harvey, C. R., Liu, Y., & Zhu, H. (2016) · Review of Financial Studies · doi:10.1093/rfs/hhv059 · Cited by 2,119
Financial Markets and the Real Economy
Cochrane, J. H. (2008) · Handbook of the Equity Risk Premium · doi:10.1016/b978-044450899-7.50014-2 · Cited by 543
Long‐Run Stockholder Consumption Risk and Asset Returns
MALLOY, C. J., MOSKOWITZ, T. J., & VISSING‐JØRGENSEN, A. (2009) · The Journal of Finance · doi:10.1111/j.1540-6261.2009.01507.x · Cited by 339
Pricing Model Performance and the Two‐Pass Cross‐Sectional Regression Methodology
KAN, R., ROBOTTI, C., & SHANKEN, J. (2013) · The Journal of Finance · doi:10.1111/jofi.12035 · Cited by 293
Metadata
- Authors
- Parker, J. A., & Julliard, C.
- Venue
- Journal of Political Economy
- Publisher
- University of Chicago Press
- Published
- 2005-02
- Volume
- 113
- Issue
- 1
- Pages
- 185-222
- ISSN
- 0022-3808 (ISSN-L)
- 1537-534X
- OpenAlex
- W2073465757
- Cited by
- 579
- References
- 44
- FWCI
- 51.12
- Type
- journal article
- Language
- en
- Open access
- green
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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.
