Consumption fluctuations and expected returns


Atanasov, Victoria ; Møller, Stig V. ; Priestley, Richard



DOI: https://doi.org/10.1111/jofi.12870
URL: https://onlinelibrary.wiley.com/doi/abs/10.1111/jo...
Additional URL: https://ssrn.com/abstract=3098057
Document Type: Article
Year of publication: 2020
The title of a journal, publication series: Journal of Finance
Volume: 75
Issue number: 3
Page range: 1677-1713
Place of publication: Hoboken, NJ
Publishing house: Wiley
ISSN: 0022-1082
Publication language: English
Institution: Business School > ABWL u. Finanzierung (Theissen)
Subject: 330 Economics
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.

Dieser Eintrag ist Teil der Universitätsbibliographie.




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