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Cross-sectional consumption-based asset pricing: The importance of consumption timing and the inclusion of severe crises

Publikation: Working paper/Preprint › Working paper › Forskning

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Cross-sectional consumption-based asset pricing: The importance of consumption timing and the inclusion of severe crises. / Engsted, Tom; Møller, Stig Vinther.
Aarhus: CREATES, Institut for Økonomi, Aarhus Universitet, 2011.

Publikation: Working paper/Preprint › Working paper › Forskning

Harvard

Engsted, T & Møller, SV 2011 'Cross-sectional consumption-based asset pricing: The importance of consumption timing and the inclusion of severe crises' CREATES, Institut for Økonomi, Aarhus Universitet, Aarhus.

APA

Engsted, T., & Møller, S. V. (2011). Cross-sectional consumption-based asset pricing: The importance of consumption timing and the inclusion of severe crises. CREATES, Institut for Økonomi, Aarhus Universitet.

CBE

Engsted T, Møller SV. 2011. Cross-sectional consumption-based asset pricing: The importance of consumption timing and the inclusion of severe crises. Aarhus: CREATES, Institut for Økonomi, Aarhus Universitet.

MLA

Engsted, Tom og Stig Vinther Møller Cross-sectional consumption-based asset pricing: The importance of consumption timing and the inclusion of severe crises. Aarhus: CREATES, Institut for Økonomi, Aarhus Universitet. 2011., 29 s.

Vancouver

Engsted T, Møller SV. Cross-sectional consumption-based asset pricing: The importance of consumption timing and the inclusion of severe crises. Aarhus: CREATES, Institut for Økonomi, Aarhus Universitet. 2011.

Author

Engsted, Tom ; Møller, Stig Vinther. / Cross-sectional consumption-based asset pricing: The importance of consumption timing and the inclusion of severe crises. Aarhus : CREATES, Institut for Økonomi, Aarhus Universitet, 2011.

Bibtex

@techreport{5b6dc2be52f54505b5bd2c494024c03b,
title = "Cross-sectional consumption-based asset pricing: The importance of consumption timing and the inclusion of severe crises",
abstract = "By using a beginning-of-period timing convention for consumption, and by including the Great Depression years in the analysis, we show that on annual data from 1926 to 2009 a standard contemporaneous consumption risk model goes a long way in explaining the size and value premiums in cross-sectional data that include both the Fama-French portfolios and industry portfolios. A long run consumption risk variant of the model also produces a high cross-sectional …t. In addition, the equity premium puzzle is signi…cantly reduced in the models. We argue that in evaluating consumption based models, it is important to include both boom and crises periods, i.e. periods with severe consumption declines as well as periods with strong growth, and that the standard post-war data sample may not be well suited in this respect.",
keywords = "Consumption-based model, long-run risk, the Great Depression, beginning-of-period timing convention, equity premium puzzle, Fama-French and industry portfolios, size and value premiums, GMM, cross-sectional R2",
author = "Tom Engsted and M{\o}ller, {Stig Vinther}",
year = "2011",
language = "English",
publisher = "CREATES, Institut for {\O}konomi, Aarhus Universitet",
type = "WorkingPaper",
institution = "CREATES, Institut for {\O}konomi, Aarhus Universitet",

}

RIS

TY - UNPB

T1 - Cross-sectional consumption-based asset pricing: The importance of consumption timing and the inclusion of severe crises

AU - Engsted, Tom

AU - Møller, Stig Vinther

PY - 2011

Y1 - 2011

N2 - By using a beginning-of-period timing convention for consumption, and by including the Great Depression years in the analysis, we show that on annual data from 1926 to 2009 a standard contemporaneous consumption risk model goes a long way in explaining the size and value premiums in cross-sectional data that include both the Fama-French portfolios and industry portfolios. A long run consumption risk variant of the model also produces a high cross-sectional …t. In addition, the equity premium puzzle is signi…cantly reduced in the models. We argue that in evaluating consumption based models, it is important to include both boom and crises periods, i.e. periods with severe consumption declines as well as periods with strong growth, and that the standard post-war data sample may not be well suited in this respect.

AB - By using a beginning-of-period timing convention for consumption, and by including the Great Depression years in the analysis, we show that on annual data from 1926 to 2009 a standard contemporaneous consumption risk model goes a long way in explaining the size and value premiums in cross-sectional data that include both the Fama-French portfolios and industry portfolios. A long run consumption risk variant of the model also produces a high cross-sectional …t. In addition, the equity premium puzzle is signi…cantly reduced in the models. We argue that in evaluating consumption based models, it is important to include both boom and crises periods, i.e. periods with severe consumption declines as well as periods with strong growth, and that the standard post-war data sample may not be well suited in this respect.

KW - Consumption-based model, long-run risk, the Great Depression, beginning-of-period timing convention, equity premium puzzle, Fama-French and industry portfolios, size and value premiums, GMM, cross-sectional R2

M3 - Working paper

BT - Cross-sectional consumption-based asset pricing: The importance of consumption timing and the inclusion of severe crises

PB - CREATES, Institut for Økonomi, Aarhus Universitet

CY - Aarhus

ER -