Short-Run and Long-Run Consumption Risks, Dividend Processes, and Asset Returns

• 成果类型: Article
• 署名作者: Li, Jun; Zhang, Harold H.
• 署名单位: University of Texas System; University of Texas Dallas
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhw073
• 发表日期: 2017
• 页码: 588
• 关键词: expected stock returns; cross-section; VALUE PREMIUM; habit formation; Equity returns; momentum; prices; INFORMATION; anomalies; shocks

摘要

We examine the implications of short-run and long-run consumption risks on the momentum and long-term contrarian profits and the value premium in a unified economic framework. By introducing time-varying firm cash flow exposures to the short-run and long-run shocks in consumption growth, we find the otherwise standard intertemporal asset pricing model goes a long way toward generating the momentum and long-term contrarian profits and the value premium. The model also reproduces the size effect, the pairwise correlations between the profitabilities of these investment strategies, and the performance of the standard CAPM and the consumption CAPM in explaining these well-documented return behaviors.