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