Lazy Investors, Discretionary Consumption, and The Cross - Section of Stock Returns  

Oleh:

Jagannathan, Ravi ; Wang, Yong

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 62 no. 4 (Aug. 2007), page 1623-1662.
Topik: investors; studies; CAPM; rates of return; consumption; beta; models
Fulltext: p 1623.pdf (214.45KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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When consumption betas of stocks are computed using year - over - year consumption growth based upon the fourth quarter, the consumption - based asset pricing model (CCAPM) explains the cross - section of stock returns as well as the fama and french (1993) three - factor model. The CCAPM's performance deteriorates substantially when consumption growth is measured based upon other quarters. For the CCAPM to hold at any given point in time, investors must make their consumption and investment decisions simultaneously at that point in time. We suspect that this is more likely to happen during the fourth quarter, given investors' tax year ends in december.

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