Consumption, dividends, and the cross section of equity returns

• 成果类型: Article
• 署名作者: Bansal, R; Dittmar, RF; Lundblad, CT
• 署名单位: Duke University; University of Michigan System; University of Michigan; Indiana University System; Indiana University Bloomington; IU Kelley School of Business
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2005.00776.x
• 发表日期: 2005
• 页码: 1639-1672
• 关键词: TEMPORAL BEHAVIOR; asset returns; risk-aversion; STOCHASTIC CONSUMPTION; PRICING-MODELS; momentum; MARKET; substitution; premia; prices

摘要

We show that aggregate consumption risks embodied in cash flows can account for the puzzling differences in risk premia across book-to-market, momentum, and size-sorted portfolios. The dynamics of aggregate consumption and cash flow growth rates, modeled as a vector autoregression, are used to measure the consumption beta of discounted cash flows. Differences in these cash flow betas account for more than 60% of the cross-sectional variation in risk premia. The market price for risk in cash flows is highly significant. We argue that cash flow risk is important for interpreting differences in risk compensation across assets.