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dc.contributor.authorAtanasov, Victoria
dc.contributor.authorMøller, Stig
dc.contributor.authorPriestley, Richard
dc.date.accessioned2020-07-03T12:20:06Z
dc.date.available2020-07-03T12:20:06Z
dc.date.created2019-11-15T17:02:56Z
dc.date.issued2019
dc.identifier.citationJournal of Finance. 2020, 75, 1677-1713.en_US
dc.identifier.issn0022-1082
dc.identifier.urihttps://hdl.handle.net/11250/2660721
dc.description.abstractThis 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.en_US
dc.language.isoengen_US
dc.publisherWileyen_US
dc.titleConsumption Fluctuations and Expected Returnsen_US
dc.typeJournal articleen_US
dc.typePeer revieweden_US
dc.description.versionacceptedVersionen_US
dc.source.pagenumber1677-1713.en_US
dc.source.volume75en_US
dc.source.journalJournal of Financeen_US
dc.identifier.doi10.1111/jofi.12870
dc.identifier.cristin1748190
cristin.ispublishedtrue
cristin.fulltextpostprint
cristin.qualitycode2


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