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Bibliographic Details
Other Authors: Julliard, Christian [Author]
Type of Resource: E-Book
Language: English
[S.l.] SSRN [2021]
Source: Verbunddaten SWB
Lizenzfreie Online-Ressourcen
Summary: Using information in returns we identify the stochastic process of consumption – the crucial ingredient of most macro-finance models. We find that aggregate consumption reacts over multiple quarters to innovations spanned by financial markets, and this persistent component accounts for 26% of the consumption variation. These innovations drive most of the time series variation of equity returns and are priced in the cross-sections of both bonds and stocks. The data rejects the hypothesis that the stochastic volatility of consumption is proportional to market volatility, and that either of them is priced, posing a novel challenge for consumption-based asset pricing models
Item Description: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 10, 2021 erstellt
Physical Description: 1 Online-Ressource (74 p)
DOI: 10.2139/ssrn.3783070
Access: Open Access