Long-Run Risk: Is It There?

• 成果类型: Article
• 署名作者: Liu, Yukun; Matthies, Ben
• 署名单位: University of Rochester; University of Notre Dame
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13126
• 发表日期: 2022
• 页码: 1587-1633
• 关键词: cross-section; Consumption risk; Investor sentiment; temporal behavior; asset; expectations; uncertainty; volatility; RESOLUTION; frequency

摘要

This paper documents the existence of a persistent component in consumption growth. We take a novel approach using news coverage to capture investor concern about economic growth prospects. We provide evidence that consumption growth is highly predictable over long horizons-our measure explains between 23% and 38% of cumulative future consumption growth at the five-year horizon and beyond. Furthermore, we show a strong connection between this predictability and asset prices. Innovations to our measure price 51 standard portfolios in the cross section and our one-factor model outperforms many benchmark macro- and return-based multifactor models.