Long-Run Stockholder Consumption Risk and Asset Returns

• 成果类型: Article
• 署名作者: Malloy, Christopher J.; Moskowitz, Tobias J.; Vissing-Jorgensen, Annette
• 署名单位: Harvard University; University of Chicago; National Bureau of Economic Research; University of Chicago; Northwestern University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2009.01507.x
• 发表日期: 2009
• 页码: 2427-2479
• 关键词: CROSS-SECTIONAL TEST; temporal behavior; equity premium; aversion; PARTICIPATION; equilibrium; consistent; RESOLUTION; WEALTH; habit

摘要

We provide new evidence on the success of long-run risks in asset pricing by focusing on the risks borne by stockholders. Exploiting microlevel household consumption data, we show that long-run stockholder consumption risk better captures cross-sectional variation in average asset returns than aggregate or nonstockholder consumption risk, and implies more plausible risk aversion estimates. We find that risk aversion around 10 can match observed risk premia for the wealthiest stockholders across sets of test assets that include the 25 Fama and French portfolios, the market portfolio, bond portfolios, and the entire cross-section of stocks.