• norsk
    • English
  • English 
    • norsk
    • English
  • Login
View Item 
  •   Home
  • Handelshøyskolen BI
  • Publikasjoner fra CRIStin - BI
  • View Item
  •   Home
  • Handelshøyskolen BI
  • Publikasjoner fra CRIStin - BI
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

Consumption Fluctuations and Expected Returns

Atanasov, Victoria; Møller, Stig; Priestley, Richard
Journal article, Peer reviewed
Accepted version
Thumbnail
View/Open
Available from 2020-12-12 (519.6Kb)
URI
https://hdl.handle.net/11250/2660721
Date
2019
Metadata
Show full item record
Collections
  • Publikasjoner fra CRIStin - BI [630]
  • Scientific articles [1334]
Original version
Journal of Finance. 2020, 75, 1677-1713.   10.1111/jofi.12870
Abstract
This paper introduces a novel consumption‐based variable, cyclical consumption, and examines its predictive properties for stock returns. Future expected stock returns are high (low) when aggregate consumption falls (rises) relative to its trend and marginal utility from current consumption is high (low). We show that the empirical evidence ties consumption decisions of agents to time variation in returns in a manner consistent with asset pricing models based on external habit formation. The predictive power of cyclical consumption is not confined to bad times and subsumes the predictability of many popular forecasting variables.
Publisher
Wiley
Journal
Journal of Finance

Contact Us | Send Feedback

Privacy policy
DSpace software copyright © 2002-2019  DuraSpace

Service from  Unit
 

 

Browse

ArchiveCommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsDocument TypesJournalsThis CollectionBy Issue DateAuthorsTitlesSubjectsDocument TypesJournals

My Account

Login

Statistics

View Usage Statistics

Contact Us | Send Feedback

Privacy policy
DSpace software copyright © 2002-2019  DuraSpace

Service from  Unit