A Consumption-Based Explanation of Expected Stock Returns

By Moto Yogo. 2006

269 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/e3de034d8e4261781e1374f00b3afa9eb8c10739

Citations in the corpus

• What Ties Return Volatilities to Price Valuations and Fundamentals? (2013, unknown): “Recent literature also suggests considering additional sources of consumption, such as durables ðvolatility 5.56 percent; e.g., Yogo 2006Þ or luxury goods ðvolatility ranging between 6 percent and 36 percent; e.g., Ait-Sahalia, Parker, and Yogo 2004Þ, together with nonhomothetic preferences.”
• Carry Trades and Risk (2011, unknown): “The reader may be puzzled by the poor performance of the Extended C-CAPM model given its prior apparent success in explaining stock returns (Yogo (2006)).”
• Carry Trades and Global Foreign Exchange Volatility (2012, unknown): “Lustig and Verdelhan (2007) provide evidence that currency risk premia can be understood in the Durables Consumption CAPM setting of Yogo (2006), Verdel-han (2010) shows how carry trade returns are related to risk arising from consumption habits, and Lustig et al. (2011) use an empirically derived…”
• A Skeptical Appraisal of Asset Pricing Tests (2010, unknown): “…growth in luxury, durable, and future consumption (Ait-Sahalia, Parker, and Yogo, 2004; Bansal, Dittmar, and Lundblad, 2005; Parker and Julliard, 2005; Yogo, 2006; All rights reserved. ans, Wayne Ferson, nonymous referee, and conferences for ey Ludvigson, Stijn ing data via their u (J. Lewellen).”
• Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium (2007, unknown): “…PM All use subject to JSTOR Terms and Conditions (2001a), Petkova and Zhang (2005), Santos and Veronesi (2006)) and identifies new sources of risk that covaries more with value stocks than with growth stocks (Lustig and Van Nieuwerburgh (2005), Piazzesi, Schneider, and Tuzel (2005), Yogo (2006)).”
• Do Peso Problems Explain the Returns to the Carry Trade (2011, unknown): “…analysis We consider the following risk factors: real U.S. per capita consumption growth (nondurables and services), the factors proposed by Yogo (2006) (the growth rate of per capita consumption of nondurables and services, the growth rate of the per capita service flow from the stock of…”
• Consumption Volatility Risk (2012, unknown): “, Lettau and Ludvigson (2001b), Parker and Julliard (2005) and Yogo (2006), the impact of consumption growth volatility on asset prices has received less attention in the empirical literature.1 This is surprising since it is well known that the volatility of macroeconomic quantities, such as consump”
• Who Are the Value and Growth Investors (2017, unknown): “…variables have therefore had success in explaining the value premium (Jagannathan and Wang 1996, Lettau and Ludvigson 2001, Petkova and Zhang 2005, Yogo 2006).4 Value stocks are also highly exposed to long-run macroeconomic risk (Bansal, Dittmar, and Lundblad 2005, Gulen, Xing, and Zhang 2011,…”
• How Much Does Household Collateral Constrain Regional Risk Sharing (2010, unknown): “…onsumption sharesintrodu ed in se tion 3.2.2.5 CalibrationPreferen e Parameters We onsider the ase of separable utility by setting at 2 and at .5,the estimate of the intratemporal elasti ity of substitution by Yogo (2006).11 In the ben hmark alibration, the dis ount fa tor is set equal to :95.”
• Housing, Consumption, and Asset Pricing (2007, unknown): “In a more recent contribution to this literature, Yogo (2006) shows that, conditional on high risk aversion, a model with consumer durables can account for time variation in the equity premium, as well as the size and value premia.”
• Housing, Finance and the Macroeconomy (2014, unknown): “In related work, Yogo (2006) studies a model with Epstein-Zin preferences over a CES aggregate of nondurable and durable consumption.”
• Inventory Investment and the Cost of Capital (2013, unknown): “The others, due to Hou, van Dijk, and Zhang (2012) and Wu and Zhang (2011), use regression models to construct forecasts of”
• Multifactor models and their consistency with the ICAPM (2012, unknown): “Thus, the estimated covariance risk prices from the first N moment conditions do account for the estimation error in the factor means, as in Cochrane (2005, Chapter 13) and Yogo (2006).”
• Consumption Risk and the Cross Section of Expected Returns (2005, unknown): “More recently, Lustig and Van Nieuwerburgh (2003), Piazzesi, Schneider, and Tuzel (2003), and Yogo (2003) price expected returns using durable consumption or housing consumption in conjunction with nondurable consumption.1 Finally, our article is closely related to the literature on the stochastic…”