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Durability of Output and Expected Stock Returns

  • Motohiro Yogo

    (University of Pennsylvania)

  • Leonid Kogan

    (MIT)

  • Joao Gomes

    (University of Pennsylvania)

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.

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Paper provided by Society for Economic Dynamics in its series 2007 Meeting Papers with number 432.

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Date of creation: 2007
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Handle: RePEc:red:sed007:432
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Society for Economic Dynamics Marina Azzimonti Department of Economics Stonybrook University 10 Nicolls Road Stonybrook NY 11790 USA

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