Idiosyncratic Consumption Risk And The Cross Section of Asset Returns  

Oleh:

Jacobs, Kris ; Wang, Kevin Q.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 59 no. 5 (Oct. 2004), page 2211-2252.
Topik: consumption; studies; consumption; risk assessment; rates of return; statistical analysis; investment policy
Fulltext: p 2211.pdf (305.69KB)

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

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Isi artikel

This paper investigates the importance of idiosyncratic consumption risk for the cross - sectional variation in asset returns. We find that besides the rate of aggregate consumption growth, the cross-sectional variance of consumption growth is also a priced factor. This suggests that consumers are not fully insured against idiosyncratic consumption risk, and that asset returns reflect their attempts to reduce their exposure to this risk. The resulting two - factor consumption-based asset pricing model significantly outperforms the CAPM, and its performance compares favorably with that of the Fama - French three - factor model.

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