earticle

논문검색

Ultimate consumption risk and investment-based stock returns

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

저자정보

  • Hankil Kang College of Business, Korea Advanced Institute of Science and Technology (KAIST), Seoul, Korea
  • Jangkoo Kang Graduate School of Finance & Accounting, College of Business, Korea Advanced Institute of Science and Technology (KAIST), Seoul, Korea
  • Changjun Lee College of Business Administration, Hankuk University of Foreign Studies

참고문헌

자료제공 : 네이버학술정보

    함께 이용한 논문

      ※ 기관로그인 시 무료 이용이 가능합니다.

      • 6,700원

      0개의 논문이 장바구니에 담겼습니다.