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Why Surplus Consumption in the Habit Model May be Less Persistent than You Think

Lynch, Anthony W. - 2011

In U.S. data, value stocks have higher expected excess returns and higher CAPM alphas than growth stocks. We find the … external-habit model of Campbell and Cochrane (1999) can generate a value premium in both CAPM alpha and expected excess return …

Persistent link: https://www.econbiz.de/10012461707

Optimal Endowment Destruction under Campbell-Cochrane Habit Formation

Ljungqvist, Lars - 2009

Campbell and Cochrane (1999) formulate a model that successfully explains a wide variety of asset pricing puzzles, by augmenting the standard power utility function with a time-varying subsistence level, or "external habit", that adapts nonlinearly to current and past average consumption in the...

Persistent link: https://www.econbiz.de/10012463875

The Retirement-Consumption Puzzle : Anticipated and Actual Declines in Spending at Retirement

Hurd, Michael - 2003

The simple one-good model of life-cycle consumption requires consumption smoothing.' However, British and U.S. households apparently reduce consumption at retirement and the reduction cannot be explained by the life-cycle model. An interpretation is that retirees are surprised by the inadequacy...

Persistent link: https://www.econbiz.de/10012469114

Is Consumption Too Smooth?

Campbell, John Y. - 1987

For thirty years, it has been accepted that consumption is smooth because permanent income is smoother than measured income. This paper considers the evidence for the contrary position, that permanent income is in fact less smooth than measured income, so that the smoothness of consumption...

Persistent link: https://www.econbiz.de/10012476935

Disentangling Financial Constraints, Precautionary Savings, and Myopia : Household Behavior Surrounding Federal Tax Returns

Baugh, Brian - 2014

We explore household consumption surrounding federal tax returns filings and refunds receipt to test various theories of consumption. Because uncertainty regarding the refund is resolved at filing, precautionary savings theory predicts an increase in consumption at this date. Contrary to this...

Persistent link: https://www.econbiz.de/10012458881

Unpriced Risks : Rethinking Cross-Sectional Asset Pricing

Chernov, Mikhail; Dahlquist, Magnus; Lochstoer, Lars A. - National Bureau of Economic Research - 2025

bonds--real-time estimation of the MVE is feasible. In the case of equities, one can hedge unpriced risks from …

Persistent link: https://www.econbiz.de/10015438234

Aggregation, Liquidity, and Asset Prices with Incomplete Markets

Di Tella, Sebastian; Hébert, Benjamin; Kurlat, Pablo - National Bureau of Economic Research - 2024

We analytically characterize asset-pricing and consumption behavior in two-account heterogeneous-agent models with aggregate risk. We show that trading frictions can simultaneously explain (1) household-level consumption behavior such as high marginal propensities to consume, (2) a zero-beta...

Persistent link: https://www.econbiz.de/10014512122

Monetary-Based Asset Pricing : A Mixed-Frequency Structural Approach

Bianchi, Francesco; Ludvigson, Sydney C.; Ma, Sai - National Bureau of Economic Research - 2022

We integrate a high-frequency monetary event study into a mixed-frequency macro-finance model and structural estimation …. The model and estimation allow for jumps at Fed announcements in investor beliefs, providing granular detail on why … financial market risk. However, the structural estimation also finds that much of the causal impact of monetary policy on …

Persistent link: https://www.econbiz.de/10013210100

How and When are High-Frequency Stock Returns Predictable?

Aït-Sahalia, Yacine; Fan, Jianqing; Xue, Lirong; Zhou, … - National Bureau of Economic Research - 2022

This paper studies the predictability of ultra high-frequency stock returns and durations to relevant price, volume and transactions events, using machine learning methods. We find that, contrary to low frequency and long horizon returns, where predictability is rare and inconsistent,...

Persistent link: https://www.econbiz.de/10013362020

The Rest of the World's Dollar-Weighted Return on U.S. Treasurys

Jiang, Zhengyang; Krishnamurthy, Arvind; Lustig, Hanno - National Bureau of Economic Research - 2022

Since 1980, foreign investors have timed their purchases and sales of U.S. Treasurys to yield particularly low returns. Their annual dollar-weighted returns, measured by IRRs, are around 3% lower than a buy-and-hold strategy over the same horizon. In comparison, the IRRs achieved by domestic...

Persistent link: https://www.econbiz.de/10013210117