Consumption Risk and the Cross Section of Expected Returns
评估消费资本资产定价模型的核心观点，即资产预期收益由其与消费的均衡风险决定。作者用未来多个季度的累积消费增长衡量风险，发现三年期终极消费风险能解释Fama-French投资组合平均收益的大部分变化，而同期消费风险解释力很弱。
This paper evaluates the central insight of the consumption capital asset pricing model that an asset's expected return is determined by its equilibrium risk to consumption. Rather than measure risk by the contemporaneous covariance of an asset's return and consumption growth, we measure risk by the covariance of an asset's return and consumption growth cumulated over many quarters following the return. While contemporaneous consumption risk explains little of the variation in average returns across the 25 Fama‐French portfolios, our measure of ultimate consumption risk at a horizon of three years explains a large fraction of this variation.