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Durability of Output and Expected Stock Returns

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 these empirical findings.
Year of publication:
2007
Authors: Yogo, Motohiro ; Kogan, Leonid ; Gomes, Joao
Institutions: Society for Economic Dynamics - SED
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Notes:
The text is part of a series 2007 SED Meeting Papers Number 432
Source:
Persistent link: https://www.econbiz.de/10011082159
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