Consumption Volatility Risk

By Oliver Boguth, L. Kuehn. 2012

137 citations recorded by the source corpus.

We show that time variation in macroeconomic uncertainty affects asset prices. Consumption volatility is a negatively priced source of risk for a wide variety of test portfolios. At the firm level, exposure to consumption volatility risk predicts future returns, generating a spread across quintile portfolios in excess of 7% annually. This premium is explained by cross-sectional differences in the sensitivity of dividend volatility to consumption volatility. Stocks with volatile cash flows in uncertain aggregate times require higher expected returns.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/6064cbae39473ac939a5a581d9055afc98f86d07

Citations in the corpus

• Climate risks and market efficiency (2017, unknown): “Since inference is based on portfolio returns, the measurement error usually leads to a decrease in statistical significance (Boguth and Kuehn (2013)).”
• Parameter Learning in General Equilibrium: The Asset Pricing Implications (2016, unknown): “5 These include Brandt, Zeng, and Zhang (2004); Croce, Lettau, and Ludvigson (2014); Lettau, Ludvigson, and Wachter (2008); Ai (2010); Boguth and Kuehn (2013); Bansal and Shaliastovich (2010, 2011); and Benzoni, Collin-Dufresne, and Goldstein (2011).”