|
DOI:
|
https://doi.org/10.1007/s11408-010-0140-z
|
|
URL:
|
https://link.springer.com/article/10.1007/s11408-0...
|
|
Additional URL:
|
https://www.researchgate.net/publication/225438034...
|
|
Document Type:
|
Article
|
|
Year of publication:
|
2010
|
|
The title of a journal, publication series:
|
Financial Markets and Portfolio Management
|
|
Volume:
|
24
|
|
Issue number:
|
4
|
|
Page range:
|
327-351
|
|
Place of publication:
|
Heidelberg ; Norwell, MA [u.a.]
|
|
Publishing house:
|
Springer
|
|
ISSN:
|
1555-4961 , 1934-4554
|
|
Publication language:
|
English
|
|
Institution:
|
Business School > ABWL u. Finanzierung (Theissen)
|
|
Subject:
|
330 Economics
|
|
Abstract:
|
The decomposition of consumption beta into a component driven by assets’ cash-flow news and one related to assets’ discount-rate news reveals that macroeconomic risks embodied in cash flows largely account for the cross-sectional dynamics of average stock returns. Empirically, we find that differences in expected excess returns between low book-to-market and high book-to-market portfolios are associated with differences in their cash-flow betas, and thus reflect macroeconomic, especially consumption-related risks. This result holds true for a broad set of consumption-based asset pricing models. In addition, the results indicate that the risk premium on equity markets is primarily driven by the exposure of assets’ cash-flow components to the cyclical variability of durable consumption goods.
|
|
Additional information:
|
Früherer Name: Victoria Galsband
|
Search Authors in
