Matches in SemOpenAlex for { <https://semopenalex.org/work/W2108113183> ?p ?o ?g. }
- W2108113183 endingPage "532" @default.
- W2108113183 startingPage "511" @default.
- W2108113183 abstract "This paper investigates whether measuring consumption risk over long horizons can improve the empirical performance of the consumption-based capital asset pricing model (CCAPM) for size and value premia in international stock markets (USA, UK, and Germany). In order to account for commonalities in size and book-to-market sorted portfolios, we also include industry portfolios in our set of test assets. Our results show that, contrary to the findings of Parker and Julliard [2005. Consumption risk and the cross- section of expected returns. Journal of Political Economy 113, no. 1: 185–222], the model falls short of providing an accurate description of the cross-section of returns under our modified empirical approach. At the same time, however, measuring consumption risk over longer horizons typically yields lower risk-aversion estimates. Thus, our results suggest that more plausible parameter estimates – as opposed to lower pricing errors – can be regarded as the main achievement of the long-horizon CCAPM." @default.
- W2108113183 created "2016-06-24" @default.
- W2108113183 creator A5004950480 @default.
- W2108113183 creator A5061133482 @default.
- W2108113183 creator A5071952005 @default.
- W2108113183 date "2009-09-01" @default.
- W2108113183 modified "2023-09-27" @default.
- W2108113183 title "Long-horizon consumption risk and the cross-section of returns: new tests and international evidence" @default.
- W2108113183 cites W1501283626 @default.
- W2108113183 cites W150866233 @default.
- W2108113183 cites W1574786337 @default.
- W2108113183 cites W1973946887 @default.
- W2108113183 cites W1974829644 @default.
- W2108113183 cites W1985201787 @default.
- W2108113183 cites W1995834279 @default.
- W2108113183 cites W2010852235 @default.
- W2108113183 cites W2016097698 @default.
- W2108113183 cites W2020734117 @default.
- W2108113183 cites W2028995298 @default.
- W2108113183 cites W2038003865 @default.
- W2108113183 cites W2073465757 @default.
- W2108113183 cites W2082330181 @default.
- W2108113183 cites W2085647375 @default.
- W2108113183 cites W2111193193 @default.
- W2108113183 cites W2117178635 @default.
- W2108113183 cites W2119143694 @default.
- W2108113183 cites W2122616309 @default.
- W2108113183 cites W2129481569 @default.
- W2108113183 cites W2134807435 @default.
- W2108113183 cites W2146387535 @default.
- W2108113183 cites W2149180867 @default.
- W2108113183 cites W2570834760 @default.
- W2108113183 cites W2736202065 @default.
- W2108113183 cites W3023688799 @default.
- W2108113183 cites W3121575311 @default.
- W2108113183 cites W3122026075 @default.
- W2108113183 cites W3123208252 @default.
- W2108113183 cites W3123823245 @default.
- W2108113183 cites W3123942958 @default.
- W2108113183 cites W3123952677 @default.
- W2108113183 cites W3123957507 @default.
- W2108113183 cites W3124013859 @default.
- W2108113183 cites W3124836277 @default.
- W2108113183 cites W3125450452 @default.
- W2108113183 cites W3125960585 @default.
- W2108113183 doi "https://doi.org/10.1080/13518470902872285" @default.
- W2108113183 hasPublicationYear "2009" @default.
- W2108113183 type Work @default.
- W2108113183 sameAs 2108113183 @default.
- W2108113183 citedByCount "4" @default.
- W2108113183 countsByYear W21081131832012 @default.
- W2108113183 countsByYear W21081131832013 @default.
- W2108113183 crossrefType "journal-article" @default.
- W2108113183 hasAuthorship W2108113183A5004950480 @default.
- W2108113183 hasAuthorship W2108113183A5061133482 @default.
- W2108113183 hasAuthorship W2108113183A5071952005 @default.
- W2108113183 hasBestOaLocation W21081131832 @default.
- W2108113183 hasConcept C10138342 @default.
- W2108113183 hasConcept C106159729 @default.
- W2108113183 hasConcept C127413603 @default.
- W2108113183 hasConcept C129915516 @default.
- W2108113183 hasConcept C144024400 @default.
- W2108113183 hasConcept C149782125 @default.
- W2108113183 hasConcept C151541453 @default.
- W2108113183 hasConcept C162324750 @default.
- W2108113183 hasConcept C167626555 @default.
- W2108113183 hasConcept C181236170 @default.
- W2108113183 hasConcept C204036174 @default.
- W2108113183 hasConcept C205706631 @default.
- W2108113183 hasConcept C28761237 @default.
- W2108113183 hasConcept C30772137 @default.
- W2108113183 hasConcept C36289849 @default.
- W2108113183 hasConcept C78519656 @default.
- W2108113183 hasConceptScore W2108113183C10138342 @default.
- W2108113183 hasConceptScore W2108113183C106159729 @default.
- W2108113183 hasConceptScore W2108113183C127413603 @default.
- W2108113183 hasConceptScore W2108113183C129915516 @default.
- W2108113183 hasConceptScore W2108113183C144024400 @default.
- W2108113183 hasConceptScore W2108113183C149782125 @default.
- W2108113183 hasConceptScore W2108113183C151541453 @default.
- W2108113183 hasConceptScore W2108113183C162324750 @default.
- W2108113183 hasConceptScore W2108113183C167626555 @default.
- W2108113183 hasConceptScore W2108113183C181236170 @default.
- W2108113183 hasConceptScore W2108113183C204036174 @default.
- W2108113183 hasConceptScore W2108113183C205706631 @default.
- W2108113183 hasConceptScore W2108113183C28761237 @default.
- W2108113183 hasConceptScore W2108113183C30772137 @default.
- W2108113183 hasConceptScore W2108113183C36289849 @default.
- W2108113183 hasConceptScore W2108113183C78519656 @default.
- W2108113183 hasIssue "5-6" @default.
- W2108113183 hasLocation W21081131831 @default.
- W2108113183 hasLocation W21081131832 @default.
- W2108113183 hasLocation W21081131833 @default.
- W2108113183 hasOpenAccess W2108113183 @default.
- W2108113183 hasPrimaryLocation W21081131831 @default.
- W2108113183 hasRelatedWork W2130830554 @default.
- W2108113183 hasRelatedWork W2287905815 @default.
- W2108113183 hasRelatedWork W2749003687 @default.