Lazy Investors, Discretionary Consumption, and the Cross Section of Stock Returns
By Ravi Jagannathan, Yong Wang. 2007
316 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/5e39a2506bc3ade155f5f4c2b7413570bd8fab6b
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Amit Goyal
- Tobias J. Moskowitz
- Christopher J. Malloy
- Annette Vissing-Jorgensen
- Joel Peress
- Massimo Massa
- Avanidhar Subrahmanyam
- Turan G. Bali
In Finance
- Amit Goyal
- Tobias J. Moskowitz
- Annette Vissing-Jorgensen
- Christopher J. Malloy
- Avanidhar Subrahmanyam
- Turan G. Bali
- Stefan Nagel
- Arvind Krishnamurthy
Citations in the corpus
- Multifactor models and their consistency with the ICAPM (2012, unknown): “The negative estimates associated with the market risk price are likely a consequence of multicollinearity related to the fact that the market covariances (betas) do not vary significantly across the test portfolios (Fama and French, 1993; Jagannathan and Wang, 2007).”
- Long-Run Stockholder Consumption Risk and Asset Returns (2009, background): “Our work intersects the recent long-run risk literature and the literature on limited stock market participation and consumption (Mankiw and Zeldes (1991), Parker (2001), Vissing-Jørgensen (2002), Brav, Constantinides, and Geczy (2002), Attanasio, Banks, and Tanner (2002), and Gomes and Michaelides ”
- Robust Inference for Consumption‐Based Asset Pricing (2019, unknown): “…(ii) the three-year consumption measure of Parker and Julliard (2005) (“P-J”), (iii) the fourth-quarter to fourth-quarter consumption measure of Jagannathan and Wang (2007) (“Q4-Q4”), (iv) the garbage measure of Savov (2011) (“Garbage”), and (v) the unfiltered NIPA consumption measure of…”
- Empirical cross-sectional asset pricing: a survey (2011, background): “Jagannathan and Wang (2007) argue that year-to-year fourth-quarter consumption growth works better than quarterly consumption growth in pricing assets.”
- The Cross-Section of Expected Stock Returns: What Have We Learnt from the Past Twenty-Five Years of Research? (2010, unknown): “Jagannathan and Wang (2007) document that measuring growth in consumption by year-on-year consumption growth in the fourth quarter supports the CAPM.”