Idiosyncratic Consumption Risk and the Cross Section of Asset Returns
发现除总消费增长率外，消费增长的横截面方差也是资产回报的定价因子，说明消费者未完全对冲特质消费风险，资产回报反映了其降低该风险的尝试。该双因子消费资产定价模型优于CAPM，表现与Fama-French三因子模型相当。
ABSTRACT This paper investigates the importance of idiosyncratic consumption risk for the cross‐sectional variation in asset returns. We find that besides the rate of aggregate consumption growth, the cross‐sectional variance of consumption growth is also a priced factor. This suggests that consumers are not fully insured against idiosyncratic consumption risk, and that asset returns reflect their attempts to reduce their exposure to this risk. The resulting two‐factor consumption‐based asset pricing model significantly outperforms the CAPM, and its performance compares favorably with that of the Fama–French three‐factor model.