Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5089168 | Journal of Banking & Finance | 2013 | 11 Pages |
Abstract
⺠We re-evaluate the cross-sectional asset pricing implications of recursive utility. ⺠Our empirical specification helps explain the size, value and momentum effects. ⺠We find that innovation in consumption growth is significantly priced. ⺠We find that the model performs better than the CAPM and Fama-French model.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Yuchao Xiao, Robert Faff, Philip Gharghori, Byoung-Kyu Min,