원문정보
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초록
영어
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.
목차
Abstract
1 Introduction
2 Related Literature
3 Data and Empirical Methodology
3.1 Data
3.2 Empirical Methodology
4 Empirical Evidence
4.1 Performance of the Ultimate Consumption Model
4.2 Performance of the Linearized Model
4.3 Performance Test to Explain the Investment-Based Spreads
4.4 Business-Cycle Frequency Relation between Consumption and Investment basedReturns
5 Conclusion
References
1 Introduction
2 Related Literature
3 Data and Empirical Methodology
3.1 Data
3.2 Empirical Methodology
4 Empirical Evidence
4.1 Performance of the Ultimate Consumption Model
4.2 Performance of the Linearized Model
4.3 Performance Test to Explain the Investment-Based Spreads
4.4 Business-Cycle Frequency Relation between Consumption and Investment basedReturns
5 Conclusion
References
저자정보
참고문헌
자료제공 : 네이버학술정보