A Consumption - Based Explanation of Expected Stock Returns  

Oleh:

Yogo, Motohiro

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 61 no. 2 (Apr. 2006), page 539-580.
Topik: stock; consumption; economic models; rates of return; studies; securities markets; economic conditions
Fulltext: p 539.pdf (499.32KB)

Ketersediaan

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

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Isi artikel

When utility is nonseparable in nondurable and durable consumption and the elasticity of substitution between the two consumption goods is sufficiently high, marginal utility rises when durable consumption falls. The model explains both the cross - sectional variation in expected stock returns and the time variation in the equity premium. Small stocks and value stocks deliver relatively low returns during recessions, when durable consumption falls, which explains their high average returns relative to big stocks and growth stocks. Stock returns are unexpectedly low at business cycle throughs, when durable consumption falls sharply, which explains the countercyclical variation in the equity premium.

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