Time Variation in The Covariance Between Stock Returns And Consumption Growth  

Oleh:

Duffee, Gregory R.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 60 no. 4 (Aug. 2005), page 1673-1712.
Topik: consumption; volatility; correlation analysis; rates of return; studies; mathematicla models; regression analysis; forecasting techniques
Fulltext: p 1673.pdf (239.67KB)

Ketersediaan

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

Lihat Detail Induk

Isi artikel

The conditional covariance between aggregate stock returns and aggregate consumption growth varies substantially over time. When stock market wealth is high relative to consumption, both the conditional covariance and correlation are high. This pattern is consistent with the "composition effect," where agents' consumption growth is more closely tied to stock returns when stock wealth is a larger share of total wealth. This variation can be used to test asset - pricing models in which the price of consumption risk varies. After accounting for variations in this price, the relation between expected excess stock returns and the conditional covariance is negative.

Opini Anda

Klik untuk menuliskan opini Anda tentang koleksi ini!

Kembali