Long‐Run Stockholder Consumption Risk and Asset Returns
Christopher Malloy (),
Tobias J. Moskowitz and
Annette Vissing‐jørgensen
Authors registered in the RePEc Author Service: Annette Vissing-Jorgensen
Journal of Finance, 2009, vol. 64, issue 6, 2427-2479
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.
Date: 2009
References: Add references at CitEc
Citations: View citations in EconPapers (123)
Downloads: (external link)
https://doi.org/10.1111/j.1540-6261.2009.01507.x
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:bla:jfinan:v:64:y:2009:i:6:p:2427-2479
Ordering information: This journal article can be ordered from
http://www.afajof.org/membership/join.asp
Access Statistics for this article
More articles in Journal of Finance from American Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().