Consumption Risk and the Cross-Section of Expected Returns
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Other versions of this item:
- Jonathan A. Parker & Christian Julliard, 2005. "Consumption Risk and the Cross Section of Expected Returns," Journal of Political Economy, University of Chicago Press, vol. 113(1), pages 185-222, February.
References listed on IDEAS
- Hansen, Lars Peter & Jagannathan, Ravi, 1997.
" Assessing Specification Errors in Stochastic Discount Factor Models,"
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American Finance Association, vol. 52(2), pages 557-590, June.
- Lars Peter Hansen & Ravi Jagannathan, 1994. "Assessing specification errors in stochastic discount factor models," Staff Report 167, Federal Reserve Bank of Minneapolis.
- Lars Peter Hansen & Ravi Jagannathan, 1994. "Assessing Specification Errors in Stochastic Discount Factor Models," NBER Technical Working Papers 0153, National Bureau of Economic Research, Inc.
- Fernando Alvarez & Andrew Atkeson & Patrick J. Kehoe, 2002.
"Money, Interest Rates, and Exchange Rates with Endogenously Segmented Markets,"
Journal of Political Economy,
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More about this item
KeywordsConsumption Capital Asset Pricing Model; Expected returns; Equity premium; Consumption risk; Consumption smoothing;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
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