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• W3203778742 abstract "This paper establishes a surprising and robust empirical similarity between short-run heterogeneous consumption and long-term consumption growth risk models. The models not only deliver a similar fit on a given set of portfolios, their actual pricing errors are also highly correlated. In addition, we find that consumption dispersion is a robust predictor of the transitory component in aggregate consumption growth. To interpret these findings, we propose a model in which aggregate uncertainty is a function of idiosyncratic uncertainty and only long-term consumption growth risknis priced. An implication of this being that consumption dispersion is priced empirically not because markets are necessarily incomplete but because investors disagree in the short-run about theirncommon long-term consumption prospects." @default.
• W3203778742 created "2021-10-11" @default.
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• W3203778742 date "2008-03-01" @default.
• W3203778742 modified "2023-09-23" @default.
• W3203778742 title "Heterogeneous Expectations, International Consumption Correlations, and Common Risk Factors in World Stock Markets" @default.
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• W3203778742 doi "https://doi.org/10.5167/uzh-52316" @default.
• W3203778742 hasPublicationYear "2008" @default.
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