کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
959475 929291 2014 29 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Composition of wealth, conditioning information, and the cross-section of stock returns
ترجمه فارسی عنوان
ترکیب ثروت، اطلاعات تهویه مطبوع و مقطع بازده سهام
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری حسابداری
چکیده انگلیسی

Value stocks covary with aggregate consumption more than growth stocks during periods when financial wealth is low relative to consumption. However, the conditional value premium does not exhibit such countercyclical behavior. Consequently, a one-factor conditional consumption-based asset pricing model can be rejected without making any arbitrary assumptions on the dynamics of the price of risk or the conditional moments. Empirical evidence is somewhat more consistent with a consumption-based model augmented with an aggregate wealth growth factor, which can be motivated by either recursive preferences or relative wealth concerns.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 111, Issue 2, February 2014, Pages 352–380
نویسندگان
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