Gomes, João (contributor); Kogan, Leonid (contributor); … - 2007 - Rev.
construct portfolios of durable-good, nondurable-good, and service producers. In the cross-section, a strategy that is long on … durables and short on services earns a sizable risk premium. In the time series, a strategy that is long on durables and short … on the market portfolio earns a countercyclical risk premium. We develop an equilibrium asset-pricing model that explains …