Consumption Volatility Risk
研究发现宏观经济不确定性随时间变化会影响资产价格，消费波动率是多种投资组合的负向定价风险来源，企业层面的消费波动率风险暴露能预测未来回报，产生年化超过7%的溢价。
ABSTRACT We show that time variation in macroeconomic uncertainty affects asset prices. Consumption volatility is a negatively priced source of risk for a wide variety of test portfolios. At the firm level, exposure to consumption volatility risk predicts future returns, generating a spread across quintile portfolios in excess of 7% annually. This premium is explained by cross‐sectional differences in the sensitivity of dividend volatility to consumption volatility. Stocks with volatile cash flows in uncertain aggregate times require higher expected returns.