Consumption strikes back? Measuring long-run risk

• 成果类型: Article
• 署名作者: Hansen, Lars Peter; Heaton, John C.; Li, Nan
• 署名单位: University of Chicago; National University of Singapore
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/588200
• 发表日期: 2008
• 页码: 260-302
• 关键词: stochastic consumption; temporal behavior; cross-section; asset prices; RESOLUTION; aversion; substitution; explanation; utility; income

摘要

We characterize and measure a long-term risk-return trade-off for the valuation of cash flows exposed to fluctuations in macroeconomic growth. This trade-off features risk prices of cash flows that are realized far into the future but continue to be reflected in asset values. We apply this analysis to claims on aggregate cash flows and to cash flows from value and growth portfolios by imputing values to the long-run dynamic responses of cash flows to macroeconomic shocks. We explore the sensitivity of our results to features of the economic valuation model and of the model cash flow dynamics.