Long-Run Stockholder Consumption Risk and Asset Returns

By Christopher J. Malloy, Tobias J. Moskowitz, Annette Vissing-Jorgensen. 2009

404 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/804cd8b8a14b5eca4b19997a31657a099be8e8e8

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Citations in the corpus

The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks (2009, neutral): “11 10 In equation (29) (and equation (29) only), we express it, t, and 1= in annualized terms, so that the coe¢ cients g and gy correspond directly to the estimates in the empirical literature.”
Idiosyncratic Risk, Long-Term Reversal, and Momentum (2010, background): “If one plugs these numbers, along with the Malloy et al. (2009) risk aversion value of 10, into the portfolio weight from Section II, then one finds that an arbitrageur would place 16.15% of her wealth in a low idiosyncratic risk-momentum portfolio stock, suggesting that idiosyncratic risk cannot…”
What Ties Return Volatilities to Price Valuations and Fundamentals? (2013, background): “Standard error are in parentheses. volatilities, prices, and fundamentals 705 - f - s of 2.88 percent, while Malloy et al. ð2009Þ find that stockholders’ consumption growth has 6.05 percent volatility ðand 18.5 percent for the top 30 percent of the distributionÞ.”
Empirical cross-sectional asset pricing: a survey (2011, background): “Short selling Miller (1977) proposes that stocks with short-sale constraints that will be overvalued as investors with negative outlook have a lower bound of zero on the number of shares that they can own.”
The Cross-Section of Expected Stock Returns: What Have We Learnt from the Past Twenty-Five Years of Research? (2010, neutral): “Malloy et al. (2005) as well as Bansal et al. (2006 ) point to long-run consumption risk (consumption betas at horizons of four years or more) as being reflected in the cross-section of returns.”
Cash Flow Duration and the Term Structure of Equity Returns (2018, neutral): “Before I can test this hypothesis, I have to address the empirical regularity that (4)Miller (1977) implicitly assumes that agents are overconfident about their own information or precision of private signals as e.g. in Gervais, Heaton, and Odean (2011) and Daniel, Hirshleifer, and Subrahmanyam (199”
Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors (2012, neutral): “Equally important, our variance bounds treatment is intended for all sorts of assets, which is in the vein of, among others, Shanken (1987); Hansen and Jagannathan (1991); Snow (1991); Cecchetti, Lam, and Mark (1994); Kan and Zhou (2006); Luttmer (1996); Balduzzi and Kallal (1997), and Bekaert and L”
An Empirical Evaluation of the Long-Run Risks Model for Asset Prices (2009, background): “Malloy, Moskowitz, and Vissing-Jorgensen (2009) focus on consumption of stock-holders and show that long-run risks in their consumption also accounts for the cross-section of assets returns.”
Value and Momentum Everywhere: Value and Momentum Everywhere (2013, neutral): “…in nondurable and service consumption obtained quarterly and long-run consumption growth is the future 3-year growth rate in consumption, measured as the sum of log quarterly consumption growth 12 quarters ahead as in Parker and Julliard (2005) and Malloy, Moskowitz, and Vissing-Jorgensen (2009).”