Consumption, Dividends, and the Cross Section of Equity Returns

By Ravi Bansal, Robert F. Dittmar, Christian Lundblad. 2005

620 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f8aa7124e4e73ccb5a005502bc1e2ce05d670d6c

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Citations in the corpus

Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns (2009, neutral): “As the level of risk aversion increases, the tilting toward small caps and winners decreases.”
Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns (2005, neutral): “Bansal, Dittmar, and Lundblad (2003, 2005) and Hansen, Heaton, and Li (2005) use econometric methods similar to those in this paper to show that value stocks cash ows have a higher long-run sensitivity to aggregate consumption growth than do growth stocks cash ows.3 An alternative view is that the…”
Empirical cross-sectional asset pricing: a survey (2011, background): “Bansal et al. (2005, 2009), Hansen et al. (2008), and Malloy et al. (2009) find support for this model.”
Momentum Profits, Factor Pricing, and Macroeconomic Risk (2008, neutral): “Bansal, Dittmar, and Lundblad (2005) show that the consumption risk embodied in cash flows can explain the average return differences across momentum portfolios.”
Who Are the Value and Growth Investors (2017, neutral): “…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, Hansen, Heaton, and Li 2008).5 The excess returns of value stocks over growth stocks…”
An Estimation of Economic Models with Recursive (2007, neutral): “…Kubler (2006), Hansen, Heaton, and Li (2008), Kiku (2005), Malloy, Moskowitz, and Vissing-Jorgensen (2009), Campanale, Castro, and Clementi (2006), Croce (2012), Bansal, Dittmar, and Lundblad (2005), Croce, Lettau, and Ludvigson (2012), Hansen and Sargent (2006), and Piazzesi and Schneider (2006).”
An Empirical Evaluation of the Long-Run Risks Model for Asset Prices (2009, methodology): “As the broader set of model implications for asset returns are already well-reported in their paper, for brevity, we do not repeat them here.”
Real investment and risk dynamics (2011, positive): “yt;t+k = + IRt 1;t + 1 MKTt 1;t + 2 SMBt 1;t + 3 HMLt 1;t (4)”
Consumption Volatility Risk (2012, neutral): “Bansal et al. (2012) show that volatility news demands a risk premium separate from discount rate news, which has first-order implications for asset prices.”
Good Times or Bad Times? Investors' Uncertainty and Stock Returns (2009, neutral): “Bansal, Dittmar, and Lundblad (2005) and Parker and Julliard (2005) use the long-run growth rate in nondurable consumption to explain average returns.”
Asset pricing tests with long run risks in consumption growth (2011, positive): “We substitute this expression into the set of Euler equations (3) to obtain a set of moment restrictions that are expressed entirely in terms of observables.”
The Wealth-Consumption Ratio (2008, neutral): “Bansal, Dittmar, and Lundblad (2005), Bekaert, Engstrom, and Grenadier (2005) and Bekaert, Engstrom, and Xing (2008) consider versions of the LRR model with cointegration. that is linear in st − s̄.”
Intertemporal Substitution and Risk Aversion (2007, methodology): “This measure of long-run risk is featured in the work of Bansal et al. (2005) and Hansen et al. (2005).”