Composition of wealth, conditioning information, and the cross-section of stock returns

• 成果类型: Article
• 署名作者: Roussanov, Nikolai
• 署名单位: University of Pennsylvania; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2013.10.010
• 发表日期: 2014
• 页码: 352-380
• 关键词: Linear factor models; conditioning information; Nonparametric Estimation; VALUE PREMIUM; Relative wealth concerns

摘要

Value stocks covary with aggregate consumption more than growth stocks during periods when financial wealth is low relative to consumption. However, the conditional value premium does not exhibit such countercyclical behavior. Consequently, a one-factor conditional consumption-based asset pricing model can be rejected without making any arbitrary assumptions on the dynamics of the price of risk or the conditional moments. Empirical evidence is somewhat more consistent with a consumption-based model augmented with an aggregate wealth growth factor, which can be motivated by either recursive preferences or relative wealth concerns. Published by Elsevier B.V.