Household Production and Asset Prices

• 成果类型: Article
• 署名作者: Da, Zhi; Yang, Wei; Yun, Hayong
• 署名单位: University of Notre Dame; Indiana University System; Indiana University Bloomington; IU Kelley School of Business; Michigan State University; Michigan State University's Broad College of Business
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2014.2130
• 发表日期: 2016
• 页码: 387-409
• 关键词: Asset pricing; household production; Electricity usage; Consumption-based models; Cross section of stock returns; industry portfolios

摘要

We empirically examine the asset pricing implications of the Beckerian framework of household production, where utility is derived from both market consumption and home produced goods. We propose residential electricity usage as a real-time proxy for the service flow from household capital, because electricity is used in most modern-day household production activities and it cannot be easily stored. Using U.S. residential electricity usage from 1955 to 2012, our model based on household production explains the equity premium and the cross section of expected stock returns (including those of industry portfolios) with an R-2 of 71%.