Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns

By Kris Jacobs, Kevin Q. Wang. 2004

121 citations recorded by the source corpus.

Citations in the corpus

The Cross-Section of Expected Stock Returns: What Have We Learnt from the Past Twenty-Five Years of Research? (2010, unknown): “Jacobs and Wang (2004) point to idiosyncratic consumption risk as a priced risk factor.”
Chapter 14 The equity premium in retrospect (2003, unknown): “…studies the PSID database on food consumption; Cogley (1999) and Vissing-Jorgensen (2002) study the CEX database on broad measures of consumption; Jacobs and Wang (2001) study the CEX database by constructing synthetic cohorts; and Ait-Sahalia, Parker and Yogo (2001) measure the household…”
Multifactor models and their consistency with the ICAPM (2012, unknown): “25 An incomplete list includes Nelson and Kim (1993), Stambaugh (1999), Kilian (1999), Valkanov (2003), Lewellen (2004), Torous, Valkanov, and Yan (2004), Campbell and Yogo (2006), Ang and Bekaert (2007), and Boudoukh, Richardson, and Whitelaw (2008).”
A Skeptical Appraisal of Asset Pricing Tests (2010, unknown): “(Jagannathan and Wang, 1996; Heaton and Lucas, 2000; Jacobs and Wang, 2004; Santos and Veronesi, 2006), growth in macroeconomic output and investment (Cochrane, 1996; Vassalou, 2003; Li, Vassalou, and Xing, 2006), growth in luxury, durable, and future consumption (Ait-Sahalia, Parker, and Yogo, 2004”