We show that the ultimate consumption model proposed by Parker and Julliard (2005) well explains the cross-section of investment-based stock returns. By the generalized method of moment (GMM) estimation, we find that the ultimate consumption model with horizons from 3 years to 4 years has superior performance to the contemporaneous consumption model. The linearized model’s performance is comparable to that of the Fama-French and Chen-Roll-Ross model. We argue that the better performance of the ultimate model is linked to the relationship between business-cycle frequency consumption shocks and investment-based returns.
JEL classification: G12
Keywords: investment-based portfolio; long-run risk; expected return
학회소식
[2016년 제 2차] Ultimate Consumption Risk and Investment-Based Stoc
작성자 : 관리자
조회수 : 956
게시일 :
2016-06-13
