Durability of Output and Expected Stock Returns

Motohiro Yogo, Leonid Kogan and João Gomes ()

No 432, 2007 Meeting Papers from Society for Economic Dynamics

Abstract: cross-section, a strategy that is long on durables and short on services earns a sizable risk premium. In the time series, a strategy that is long on durables and short on the market portfolio earns a countercyclical risk premium. We develop an equilibrium asset-pricing model that explains these empirical findings.

Date: 2007
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Related works:
Journal Article: Durability of Output and Expected Stock Returns (2009)
Working Paper: Durability of Output and Expected Stock Returns (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:red:sed007:432

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