Cyclical Asset Returns in the Consumption and Investment Goods Sector

Burkhard Heer, Alfred Maussner (alfred.maussner@wiwi.uni-augsburg.de) and Bernd Süssmuth

No 4364, CESifo Working Paper Series from CESifo

Abstract: We document the empirical fact that asset prices in the consumption-goods and investment-goods sector behave almost identically in the US economy. In order to derive the cyclical behavior of the equity returns in these two sectors, we consider a standard two-sector real-business cycle model with habit formation and sector-specific adjustment costs of capital. The model is able to replicate the equity premium and the Sharpe values observed empirically. In addition, we are able to match the empirical fact that equity returns in the two sectors are not correlated with output.

Keywords: asset prices; business cycles; equity premium; investment sector; consumption sector (search for similar items in EconPapers)
JEL-codes: C63 E22 E32 G12 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Cyclical Asset Returns in the Consumption and Investment Goods Sector (2018)
Working Paper: Cyclical Asset Returns in the Consumption and Investment Goods Sector (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_4364

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