Nonsubstitutable Consumption Growth Risk

• 成果类型: Article
• 署名作者: Dittmar, Robert F.; Schlag, Christian; Thimme, Julian
• 署名单位: Rice University; Goethe University Frankfurt; Helmholtz Association; Karlsruhe Institute of Technology
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2022.01269
• 发表日期: 2025
• 关键词: Asset pricing; consumption; Cross-section of stock returns

摘要

Standard applications of the consumption-based asset pricing model assume that goods and services within the nondurable consumption bundle are substitutes. We estimate substitution elasticities between different consumption bundles and show that households cannot substitute energy consumption by consumption of other nondurables. As a consequence, energy consumption affects the pricing function as a separate factor. Variation in energy consumption betas explains a large part of the premia related to value, investment, and operating profitability. For example, value stocks are typically more energy intensive than growth stocks and thus riskier, because they suffer more from the oil supply shocks that also affect households.