Asset Pricing with Countercyclical Household Consumption Risk

• 成果类型: Article
• 署名作者: Constantinides, George M.; Ghosh, Anisha
• 署名单位: University of Chicago; National Bureau of Economic Research; Carnegie Mellon University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12471
• 发表日期: 2017
• 页码: 415-459
• 关键词: Long-run risks; rare disasters; Heterogeneous consumers; equity premium; returns; explain; tests; MODEL

摘要

We show that shocks to household consumption growth are negatively skewed, persistent, countercyclical, and drive asset prices. We construct a parsimonious model where heterogeneous households have recursive preferences. A single state variable drives the conditional cross-sectional moments of household consumption growth. The estimated model fits well the unconditional cross-sectional moments of household consumption growth and the moments of the risk-free rate, equity premium, price-dividend ratio, and aggregate dividend and consumption growth. The model-implied risk-free rate and price-dividend ratio are procyclical, while the market return has countercyclical mean and variance. Finally, household consumption risk explains the cross section of excess returns.