Habit, Production, and the Cross-Section of Stock Returns

Preprint OPEN
Chen, Andrew Y.;
  • Subject: Equity premium puzzle; value premium; production; time-varying consumption volatility

Solutions to the equity premium puzzle should inform us about the cross-section of stock returns. An external habit model with heterogeneous firms reproduces numerous stylized facts about both the equity premium and the value premium. The equity premium is large, time-v... View more
  • References (15)
    15 references, page 1 of 2

    Ai, Hengjie and Dana Kiku. “Growth to value: Option exercise and the cross section of equity returns”. Journal of Financial Economics (2012).

    Avramov, Doron, Scott Cederburg, and Satadru Hore. “Cross-sectional asset pricing puzzles: An equilibrium perspective”. Unpublished manuscript (2011).

    Bansal, Ravi, Robert F Dittmar, and Christian T Lundblad. “Consumption, dividends, and the cross section of equity returns”. The Journal of Finance 60.4 (2005), pp. 1639-1672.

    Beeler, J. and J.Y. Campbell. The long-run risks model and aggregate asset prices: an empirical assessment. Tech. rep. National Bureau of Economic Research, 2009.

    Bloom, N. “The Impact of Uncertainty Shocks”. Econometrica 77.3 (2009), pp. 623-685.

    Boguth, Oliver and Lars-Alexander Kuehn. “Consumption volatility risk”. The Journal of Finance (2013).

    Boldrin, M., L.J. Christiano, and J.D.M. Fisher. “Habit persistence, asset returns, and the business cycle”. American Economic Review (2001), pp. 149-166.

    Campbell, John Y and Tuomo Vuolteenaho. “Bad Beta, Good Beta”. American Economic Review (2004), pp. 1249-1275.

    Campbell, John Y et al. An intertemporal capm with stochastic volatility. Tech. rep. National Bureau of Economic Research, 2012.

    Campbell, J.Y. and J.H. Cochrane. “By Force of Habit: A Consumption Based Explanation of Aggregate Stock Market Behavior”. Journal of Political Economy 107.2 (1999), pp. 205-251.

  • Metrics
Share - Bookmark