Utilize este identificador para referenciar este registo:
https://hdl.handle.net/1822/36261
Título: | Consumption growth, preference for smoothing, changes in expectations and risk premium |
Autor(es): | Armada, Manuel José da Rocha Sousa, Ricardo M. Wohar, Mark E. |
Palavras-chave: | Consumption growth Intertemporal budget constraint Consumption–wealth ratio Expected returns Asset pricing |
Data: | Mai-2015 |
Editora: | Elsevier 1 |
Revista: | Quarterly Review of Economics and Finance |
Resumo(s): | This paper derives a relationship between consumption growth, the consumption–wealth ratio and its first-difference, and asset returns. Using quarterly data for sixteen OECD countries, we find that the three-factor asset pricing model explains a large fraction of the variation in real stock returns. The model captures: (i) the concerns of agents with states of the world in which consumption growth is low; (ii) the preference of investors for a smooth consumption path as implied by the intertemporal budget constraint; and (ii) the role played by shifts in expectations about future returns due to positive or negative news about their wealth |
Tipo: | Artigo |
URI: | https://hdl.handle.net/1822/36261 |
DOI: | 10.1016/j.qref.2014.09.005 |
ISSN: | 1062-9769 |
Versão da editora: | http://www.sciencedirect.com/science/article/pii/S1062976914000738 |
Arbitragem científica: | yes |
Acesso: | Acesso restrito UMinho |
Aparece nas coleções: | NIPE - Artigos em Revistas de Circulação Internacional com Arbitragem Científica |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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Consumptiongrowth_RicardoSOusa_MJRochaArmada.pdf Acesso restrito! | Consumption growth, preference for smoothing, changes in expectations and risk premium | 837,44 kB | Adobe PDF | Ver/Abrir |