Consumption Risk and the Cross Section of Expected Returns

By Jonathan A. Parker, C. Julliard. Journal of Political Economy, 2005

576 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/30ebf81a575f79947e7177b78b18d1e3f347afd6

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Citations in the corpus

Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium (2007, unknown): “Another strand of literature relates observed returns of value and growth stocks to aggregate market cash flows or macroeconomic factors (Campbell, Polk, and Vuolteenaho (2003), Liew and Vassalou (2000), Parker and Julliard (2005), Vassalou (2003)).”
Asset pricing tests with long run risks in consumption growth (2011, unknown): “V ar(x(2)t ) = 3 4x 2 w(1 + 2 x) (1 (4)x)(1 2)(1 (2)x) + 1 1 (4)x 2 4 + 4 (2)x 4 x 4 (1 (2)x) Substituting the above expressions into equation (34), we have”
Correlation Risk and Optimal Portfolio Choice (2010, background): “4Persistence of second moments has also proven to be an important dimension to “read’ traditional asset pricing puzzles through: See, among others, Barsky and De Long (1990, 1993), Bansal and Yaron (2004) and Parker and Julliard (2005).”
Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance (2012, unknown): “21Various authors (Julliard and Parker 2005, Campbell and Vuolteenaho 2006, Hansen Heaton and Li 2006) find that value stocks have higher long run cash flow betas.”
Investor Information, Long-Run Risk, and the Term Structure of Equity (2015, unknown): “4 Veronesi (2000) and Li (2005) study endowment economies with constant relative risk-aversion utility (a special case of our recursive preferences), while Ai (2010) and Johannes, Lochstoer, and Mou (2013) study economies where agent’s have recursive preferences, but with consumption equal to divide”
The Wealth-Consumption Ratio (2008, unknown): “2Hansen, Heaton, and Li (2008), Parker and Julliard (2005) and Malloy, Moskowitz, and Vissing-Jorgensen (2009) measure long-run risk based on leads and long-run impulse responses of consumption growth.”
Robust Inference for Consumption‐Based Asset Pricing (2019, unknown): “…growth and asset returns that could be improved by adopting alternative consumption measures, including the three-year consumption measure in Parker and Julliard (2005), the fourth-quarter to fourth-quarter consumption measure in Jagannathan and Wang (2007), the garbage measure in Savov…”
Stock Market Returns and Consumption (2020, methodology): “Julliard and Parker (2005), for instance, study the central insight of the consumption capital asset pricing model—that an asset’s expected return is determined by its equilibrium risk to consumption—and find that ultimate consumption risk, defined as the covariance of an asset’s return and consumpt”
Empirical cross-sectional asset pricing: a survey (2011, background): “A more recent line of attack to resurrecting CCAPM comes from the observation that consumption risk should be measured by covariance of returns and consumption over several quarters (Parker and Julliard 2005).”
Intertemporal Substitution and Risk Aversion (2007, background): “Maenhout (2004) and Skiadas (2003) give a characterization of this link in more general circumstances that include the CES specification in a continuous time version of these preferences by making the penalization depend on the endogenous continuation value (see also Hansen (2004)).”
Habit formation, the cross section of stock returns and the cash-flow risk puzzle (2010, background): “For instance, Parker and Julliard (2005) and Bansal, Dittmar, and Lundblad (2005) use cross-sectional differences in the long-run covariance between returns, consumption growth, and dividend growth, to offer a characterization of cross-sectional differences in one-period returns.”
Chi-Squared Tests for Evaluation and Comparison of Asset Pricing Models (2013, methodology): “The existing specification test in the literature is based on measuring the distance of the sample squared HJ-distance, δ̂2 = eT (γ̂ )ÛeT (γ̂ ), from zero and is asymptotically distributed as a weighted sum of independent chi-squared randomvariableswith one degree of freedom (Jagannathan and Wang, 1”
Long-Run Stockholder Consumption Risk and Asset Returns (2009, methodology): “…success using long-run aggregate consumption risk to capture cross-sectional and aggregate stock returns (Parker (2001), Bansal and Yaron (2004), Parker and Julliard (2005), Bansal, Dittmar, and Lundblad (2005), Hansen, Heaton, and Li (2005)).1 The empirical success of long-run consumption risk…”
Consumption Volatility Risk (2012, background): “In a model with recursive preferences and unobservable conditional mean and volatility of consumption growth, prior beliefs about conditional moments of consumption growth affect excess returns.”