Consumption Fluctuations and Expected Returns

• 成果类型: Article
• 署名作者: Atanasov, Victoria; Moller, Stig V.; Priestley, Richard
• 署名单位: University of Mannheim; Aarhus University; CREATES; Danish Finance Institute; BI Norwegian Business School
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12870
• 发表日期: 2020
• 页码: 1677-1713
• 关键词: TIME-VARYING RISK; equity premium; stock returns; long-run; PREDICTIVE REGRESSIONS; business cycles; EFFICIENT TESTS; MODEL; explanation; inference

摘要

This paper introduces a novel consumption-based variable, cyclical consumption, and examines its predictive properties for stock returns. Future expected stock returns are high (low) when aggregate consumption falls (rises) relative to its trend and marginal utility from current consumption is high (low). We show that the empirical evidence ties consumption decisions of agents to time variation in returns in a manner consistent with asset pricing models based on external habit formation. The predictive power of cyclical consumption is not confined to bad times and subsumes the predictability of many popular forecasting variables.