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Consumption growth as a risk factor? Evidence from Canadian financial markets

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  • Carmich[ae]l, Benoit
  • Samson, Lucie

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  • Carmich[ae]l, Benoit & Samson, Lucie, 2005. "Consumption growth as a risk factor? Evidence from Canadian financial markets," Journal of International Money and Finance, Elsevier, vol. 24(1), pages 83-101, February.
    • Handle: RePEc:eee:jimfin:v:24:y:2005:i:1:p:83-101
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    3. Hansen, Lars Peter & Singleton, Kenneth J, 1983. "Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns," Journal of Political Economy, University of Chicago Press, vol. 91(2), pages 249-265, April.
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    5. John Y. Campbell, 2000. "Asset Pricing at the Millennium," Journal of Finance, American Finance Association, vol. 55(4), pages 1515-1567, August.
    6. Marquering, Wessel & Verbeek, Marno, 1999. "An empirical analysis of intertemporal asset pricing models with transaction costs and habit persistence," Journal of Empirical Finance, Elsevier, vol. 6(3), pages 243-265, September.
    7. Ferson, Wayne E & Harvey, Campbell R, 1991. "The Variation of Economic Risk Premiums," Journal of Political Economy, University of Chicago Press, vol. 99(2), pages 385-415, April.
    8. Kandel, Shmuel & Stambaugh, Robert F., 1987. "On correlations and inferences about mean-variance efficiency," Journal of Financial Economics, Elsevier, vol. 18(1), pages 61-90, March.
    9. Ferson, Wayne E, 1990. "Are the Latent Variables in Time-Varying Expected Returns Compensation for Consumption Risk?," Journal of Finance, American Finance Association, vol. 45(2), pages 397-429, June.
    10. Mittoo, Usha R, 1992. "Additional Evidence on Integration in the Canadian Stock Market," Journal of Finance, American Finance Association, vol. 47(5), pages 2035-2054, December.
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    15. Evans, Martin D D, 1994. "Expected Returns, Time-Varying Risk, and Risk Premia," Journal of Finance, American Finance Association, vol. 49(2), pages 655-679, June.
    16. Campbell, John Y & Shiller, Robert J, 1988. " Stock Prices, Earnings, and Expected Dividends," Journal of Finance, American Finance Association, vol. 43(3), pages 661-676, July.
    17. Epstein, Larry G & Zin, Stanley E, 1991. "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis," Journal of Political Economy, University of Chicago Press, vol. 99(2), pages 263-286, April.
    18. Shanken, Jay, 1987. "Multivariate proxies and asset pricing relations : Living with the Roll critique," Journal of Financial Economics, Elsevier, vol. 18(1), pages 91-110, March.
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