Consumption in Asset Returns
成果类型：
Article
署名作者：
Bryzgalova, Svetlana; Huang, Jiantao; Julliard, Christian
署名单位：
University of London; London Business School; Centre for Economic Policy Research - UK; University of Hong Kong
刊物名称：
JOURNAL OF FINANCE
ISSN/ISSBN：
0022-1082; 1540-6261
DOI：
10.1111/jofi.70044
发表日期：
2026-08
页码：
2271-2330
关键词：
摘要：
Using information in returns, we identify the stochastic process of consumption. We find that aggregate consumption reacts over multiple quarters to innovations spanned by financial markets. This persistent component accounts for over a quarter of consumption variation. These shocks command a large and significant risk premium, driving a large share of stocks' and a small yet significant fraction of bonds' time-series variation. Nevertheless, we find no support for stochastic volatility of consumption driving time-varying risk premia. Finally, an otherwise standard recursive utility model based on our estimated process explains equity premium and risk-free rate puzzles with low-risk aversion.
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