Time variation in the covariance between stock returns and consumption growth

• 成果类型: Article
• 署名作者: Duffee, GR
• 署名单位: University of California System; University of California Berkeley
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2005.00777.x
• 发表日期: 2005
• 页码: 1673-1712
• 关键词: generalized-method; sample properties; RISK; heteroskedasticity; equilibrium; volatility; moments; habit

摘要

The conditional covariance between aggregate stock returns and aggregate consumption growth varies substantially over time. When stock market wealth is high relative to consumption, both the conditional covariance and correlation are high. This pattern is consistent with the composition effect, where agents' consumption growth is more closely tied to stock returns when stock wealth is a larger share of total wealth. This variation can be used to test asset-pricing models in which the price of consumption risk varies. After accounting for variations in this price, the relation between expected excess stock returns and the conditional covariance is negative.