Time Variation in the Covariance between Stock Returns and Consumption Growth
发现股票收益与消费增长的条件协方差随时间大幅变化，股票财富相对消费越高，协方差和相关性越高，这可用于检验消费风险价格变化的资产定价模型。
ABSTRACT The conditional covariance between aggregate stock returns and aggregate consumption growth varies substantially over time. When stock market wealth is high relative to consumption, both the conditional covariance and correlation are high. This pattern is consistent with the “composition effect,” where agents' consumption growth is more closely tied to stock returns when stock wealth is a larger share of total wealth. This variation can be used to test asset‐pricing models in which the price of consumption risk varies. After accounting for variations in this price, the relation between expected excess stock returns and the conditional covariance is negative.