Cointegration and consumption risks in asset returns:
We argue that the cointegrating relation between dividends and consumption, a measure of long run consumption risks, is a key determinant of risk premia at all investment horizons. As the investment horizon increases, transitory risks disappear, and the asset's beta is dominated by long run con...
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| Main Authors: | , , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Cambridge, Mass.
National Bureau of Economic Research
2007
|
| Series: | Working paper series / National Bureau of Economic Research
13108 |
| Online Access: | Volltext |
| Summary: | We argue that the cointegrating relation between dividends and consumption, a measure of long run consumption risks, is a key determinant of risk premia at all investment horizons. As the investment horizon increases, transitory risks disappear, and the asset's beta is dominated by long run consumption risks. We show that the return betas, derived from the cointegration-based VAR (EC-VAR) model, successfully account for the crosssectional variation in equity returns at both short and long horizons; this is not the case when the cointegrating restriction is ignored. Our evidence highlights the importance of cointegration-based long run consumption risks for financial markets. |
| Item Description: | Literaturverz. S. 37 - 39 |
| Physical Description: | 52 S. graph. Darst. 22 cm |
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| 520 | 8 | |a We argue that the cointegrating relation between dividends and consumption, a measure of long run consumption risks, is a key determinant of risk premia at all investment horizons. As the investment horizon increases, transitory risks disappear, and the asset's beta is dominated by long run consumption risks. We show that the return betas, derived from the cointegration-based VAR (EC-VAR) model, successfully account for the crosssectional variation in equity returns at both short and long horizons; this is not the case when the cointegrating restriction is ignored. Our evidence highlights the importance of cointegration-based long run consumption risks for financial markets. | |
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| index_date | 2024-07-02T22:41:31Z |
| indexdate | 2024-07-09T21:25:14Z |
| institution | BVB |
| language | English |
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| physical | 52 S. graph. Darst. 22 cm |
| publishDate | 2007 |
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| publisher | National Bureau of Economic Research |
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| spelling | Bansal, Ravi Verfasser (DE-588)133407411 aut Cointegration and consumption risks in asset returns Ravi Bansal ; Robert Dittmar ; Dana Kiku Cambridge, Mass. National Bureau of Economic Research 2007 52 S. graph. Darst. 22 cm txt rdacontent n rdamedia nc rdacarrier Working paper series / National Bureau of Economic Research 13108 Literaturverz. S. 37 - 39 We argue that the cointegrating relation between dividends and consumption, a measure of long run consumption risks, is a key determinant of risk premia at all investment horizons. As the investment horizon increases, transitory risks disappear, and the asset's beta is dominated by long run consumption risks. We show that the return betas, derived from the cointegration-based VAR (EC-VAR) model, successfully account for the crosssectional variation in equity returns at both short and long horizons; this is not the case when the cointegrating restriction is ignored. Our evidence highlights the importance of cointegration-based long run consumption risks for financial markets. Dittmar, Robert F. Verfasser (DE-588)128435852 aut Kiku, Dana Verfasser (DE-588)133408884 aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.> NBER working paper series 13108 (DE-604)BV002801238 13108 http://papers.nber.org/papers/w13108.pdf kostenfrei Volltext |
| spellingShingle | Bansal, Ravi Dittmar, Robert F. Kiku, Dana Cointegration and consumption risks in asset returns |
| title | Cointegration and consumption risks in asset returns |
| title_auth | Cointegration and consumption risks in asset returns |
| title_exact_search | Cointegration and consumption risks in asset returns |
| title_exact_search_txtP | Cointegration and consumption risks in asset returns |
| title_full | Cointegration and consumption risks in asset returns Ravi Bansal ; Robert Dittmar ; Dana Kiku |
| title_fullStr | Cointegration and consumption risks in asset returns Ravi Bansal ; Robert Dittmar ; Dana Kiku |
| title_full_unstemmed | Cointegration and consumption risks in asset returns Ravi Bansal ; Robert Dittmar ; Dana Kiku |
| title_short | Cointegration and consumption risks in asset returns |
| title_sort | cointegration and consumption risks in asset returns |
| url | http://papers.nber.org/papers/w13108.pdf |
| volume_link | (DE-604)BV002801238 |
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