The DOI matches its Crossref record; 5 of the 5 references it cites were found in a registry or an index.
A Consumption‐Based Explanation of Expected Stock Returns
Abstract
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 cross‐sectional variation in expected stock returns and the time variation in the equity premium. Small stocks and value stocks deliver relatively low returns during recessions, when durable consumption falls, which explains their high average returns relative to big stocks and growth stocks. Stock returns are unexpectedly low at business cycle troughs, when durable consumption falls sharply, which explains the countercyclical variation in the equity premium.
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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
CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
Sharpe, W. F. (1964) · The Journal of Finance · doi:10.1111/j.1540-6261.1964.tb02865.x · Cited by 19,441
FAMA, E. F. (1991) · The Journal of Finance · doi:10.1111/j.1540-6261.1991.tb04636.x · Cited by 5,350
By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior
Campbell, J. Y., & Cochrane, J. H. (1999) · Journal of Political Economy · doi:10.1086/250059 · Cited by 5,210
SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION*
Lintner, J. (1965) · The Journal of Finance · doi:10.1111/j.1540-6261.1965.tb02930.x · Cited by 2,452
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
Hsu, P.-H., Li, K., & Tsou, C.-Y. (2020) · SSRN Electronic Journal · doi:10.2139/ssrn.3578215 · Cited by 665
Risk, Returns, and Multinational Production *
Fillat, J. L., & Garetto, S. (2015) · The Quarterly Journal of Economics · doi:10.1093/qje/qjv031 · Cited by 148
A Simple Mapping from MPCs to MPXs
Laibson, D. I., Maxted, P., & Moll, B. (2022) · SSRN Electronic Journal · doi:10.2139/ssrn.4010519 · Cited by 32
A Simple Mapping from MPCs to MPXs
Laibson, D., Maxted, P., & Moll, B. (2022) · doi:10.3386/w29664 · Cited by 32
Metadata
- Authors
- YOGO, M.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2006-03-09
- Volume
- 61
- Issue
- 2
- Pages
- 539-580
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2149180867
- Cited by
- 652
- References
- 5
- FWCI
- 58.47
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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