Earticle

초록

영어

We show that the ultimate consumption model proposed by Parker and Julliard (2005) well explains the cross-section of investment-based stock returns. By the generalized method of moment (GMM) estimation, we find that the ultimate consumption model with horizons from 3 years to 4 years has superior performance to the contemporaneous consumption model. The linearized model’s performance is comparable to that of the Fama-French and Chen-Roll-Ross model. We argue that the better performance of the ultimate model is linked to the relationship between business-cycle frequency consumption shocks and investment-based returns.

목차

Abstract
 1 Introduction
 2 Related Literature
 3 Data and Empirical Methodology
  3.1 Data
  3.2 Empirical Methodology
 4 Empirical Evidence
  4.1 Performance of the Ultimate Consumption Model
  4.2 Performance of the Linearized Model
  4.3 Performance Test to Explain the Investment-Based Spreads
  4.4 Business-Cycle Frequency Relation between Consumption and Investment basedReturns
 5 Conclusion
 References

키워드

저자

• Hankil Kang [ College of Business, Korea Advanced Institute of Science and Technology (KAIST), Seoul, Korea ]
• Jangkoo Kang [ Graduate School of Finance & Accounting, College of Business, Korea Advanced Institute of Science and Technology (KAIST), Seoul, Korea ]
• Changjun Lee [ College of Business Administration, Hankuk University of Foreign Studies ] Corresponding author

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간행물

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• 간행물명

  한국재무학회 학술대회

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• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330