Consumption Volatility Risk

• 成果类型: Article
• 署名作者: Boguth, Oliver; Kuehn, Lars-Alexander
• 署名单位: Arizona State University; Arizona State University-Tempe; Carnegie Mellon University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12058
• 发表日期: 2013
• 页码: 2589-2615
• 关键词: cross-section; long-run; empirical tests; asset returns; stock returns; beta; equilibrium; premia; models

摘要

We show that time variation in macroeconomic uncertainty affects asset prices. Consumption volatility is a negatively priced source of risk for a wide variety of test portfolios. At the firm level, exposure to consumption volatility risk predicts future returns, generating a spread across quintile portfolios in excess of 7% annually. This premium is explained by cross-sectional differences in the sensitivity of dividend volatility to consumption volatility. Stocks with volatile cash flows in uncertain aggregate times require higher expected returns.