期刊
JOURNAL OF ECONOMETRICS
卷 237, 期 2, 页码 -出版社
ELSEVIER SCIENCE SA
DOI: 10.1016/j.jeconom.2022.11.012
关键词
CCAPM; Business-cycle consumption; Frequency; Aggregation; Return predictability
Aggregation is commonly used in asset pricing to capture frequency-specific effects. This study formalizes the theoretical mapping between aggregates of time series and their frequency-specific components, and demonstrates the valuable pricing signal provided by business-cycle consumption.
Aggregation is routinely employed in asset pricing to capture frequency-specific effects. We formalize the theoretical mapping between aggregates of time series and their frequency-specific components as well as the mapping between factor loadings obtained upon aggregation of returns and factors and frequency-specific factor loadings. We show that business-cycle consumption, a component of the consumption growth process with cycles between 4 and 8 years, provides valuable pricing signal. In agreement with the implications of theory, we document that consumption growth aggregated over a 4-year horizon (4-year consumption) has analogous pricing ability, cross-sectionally and in the time series, to business-cycle consumption.(c) 2023 Elsevier B.V. All rights reserved.
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