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Cited by 339

The DOI matches its Crossref record; 47 of the 47 references it cites were found in a registry or an index.

Long‐Run Stockholder Consumption Risk and Asset Returns

MALLOY, CHRISTOPHER J., MOSKOWITZ, TOBIAS J., VISSING‐JØRGENSEN, ANNETTE·2009·The Journal of Finance
DOI 10.1111/j.1540-6261.2009.01507.x
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Abstract

We provide new evidence on the success of long‐run risks in asset pricing by focusing on the risks borne by stockholders. Exploiting microlevel household consumption data, we show that long‐run stockholder consumption risk better captures cross‐sectional variation in average asset returns than aggregate or nonstockholder consumption risk, and implies more plausible risk aversion estimates. We find that risk aversion around 10 can match observed risk premia for the wealthiest stockholders across sets of test assets that include the 25 Fama and French portfolios, the market portfolio, bond portfolios, and the entire cross‐section of stocks.

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Metadata

Authors
MALLOY, C. J., MOSKOWITZ, T. J., & VISSING‐JØRGENSEN, A.
Venue
The Journal of Finance
Publisher
Wiley
Published
2009-11-25
Volume
64
Issue
6
Pages
2427-2479
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1111/j.1540-6261.2009.01507.x
OpenAlex
W2164695604
Cited by
339
References
47
FWCI
53.78
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: Long‐Run Stockholder Consumption Risk and Asset Returns. https://app.cochat.ai/papers/10.1111/j.1540-6261.2009.01507.x
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MALLOY, C. J., MOSKOWITZ, T. J., & VISSING‐JØRGENSEN, A. (2009). Long‐Run Stockholder Consumption Risk and Asset Returns. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.2009.01507.x

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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.