Consumption Fluctuations and Expected Returns

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

Standard

Consumption Fluctuations and Expected Returns. / Atanasov, Victoria; Møller, Stig V.; Priestley, Richard.

In: Journal of Finance, Vol. 75, No. 3, 2020, p. 1677-1713.

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

Harvard

Atanasov, V, Møller, SV & Priestley, R 2020, 'Consumption Fluctuations and Expected Returns', Journal of Finance, vol. 75, no. 3, pp. 1677-1713. https://doi.org/10.1111/jofi.12870

APA

Atanasov, V., Møller, S. V., & Priestley, R. (2020). Consumption Fluctuations and Expected Returns. Journal of Finance, 75(3), 1677-1713. https://doi.org/10.1111/jofi.12870

CBE

Atanasov V, Møller SV, Priestley R. 2020. Consumption Fluctuations and Expected Returns. Journal of Finance. 75(3):1677-1713. https://doi.org/10.1111/jofi.12870

MLA

Atanasov, Victoria, Stig V. Møller and Richard Priestley. "Consumption Fluctuations and Expected Returns". Journal of Finance. 2020, 75(3). 1677-1713. https://doi.org/10.1111/jofi.12870

Vancouver

Atanasov V, Møller SV, Priestley R. Consumption Fluctuations and Expected Returns. Journal of Finance. 2020;75(3):1677-1713. https://doi.org/10.1111/jofi.12870

Author

Atanasov, Victoria ; Møller, Stig V. ; Priestley, Richard. / Consumption Fluctuations and Expected Returns. In: Journal of Finance. 2020 ; Vol. 75, No. 3. pp. 1677-1713.

Bibtex

@article{53365c1bd20244b193c8afcd9a18250e,
title = "Consumption Fluctuations and Expected Returns",
abstract = "This paper introduces a novel consumption-based variable, cyclical consumption, and examines its predictive properties for stock returns. Future expected stock returns are high (low) when aggregate consumption falls (rises) relative to its trend and marginal utility from current consumption is high (low). We show that the empirical evidence ties consumption decisions of agents to time variation in returns in a manner consistent with asset pricing models based on external habit formation. The predictive power of cyclical consumption is not confined to bad times and subsumes the predictability of many popular forecasting variables.",
author = "Victoria Atanasov and M{\o}ller, {Stig V.} and Richard Priestley",
year = "2020",
doi = "10.1111/jofi.12870",
language = "English",
volume = "75",
pages = "1677--1713",
journal = "Journal of Finance",
issn = "0022-1082",
publisher = "Wiley",
number = "3",

}

RIS

TY - JOUR

T1 - Consumption Fluctuations and Expected Returns

AU - Atanasov, Victoria

AU - Møller, Stig V.

AU - Priestley, Richard

PY - 2020

Y1 - 2020

N2 - This paper introduces a novel consumption-based variable, cyclical consumption, and examines its predictive properties for stock returns. Future expected stock returns are high (low) when aggregate consumption falls (rises) relative to its trend and marginal utility from current consumption is high (low). We show that the empirical evidence ties consumption decisions of agents to time variation in returns in a manner consistent with asset pricing models based on external habit formation. The predictive power of cyclical consumption is not confined to bad times and subsumes the predictability of many popular forecasting variables.

AB - This paper introduces a novel consumption-based variable, cyclical consumption, and examines its predictive properties for stock returns. Future expected stock returns are high (low) when aggregate consumption falls (rises) relative to its trend and marginal utility from current consumption is high (low). We show that the empirical evidence ties consumption decisions of agents to time variation in returns in a manner consistent with asset pricing models based on external habit formation. The predictive power of cyclical consumption is not confined to bad times and subsumes the predictability of many popular forecasting variables.

UR - http://www.scopus.com/inward/record.url?scp=85077879989&partnerID=8YFLogxK

U2 - 10.1111/jofi.12870

DO - 10.1111/jofi.12870

M3 - Journal article

AN - SCOPUS:85077879989

VL - 75

SP - 1677

EP - 1713

JO - Journal of Finance

JF - Journal of Finance

SN - 0022-1082

IS - 3

ER -