Short-Run and Long-Run Consumption Risks, Dividend Processes, and Asset Returns
研究了短期和长期消费风险如何影响动量效应、长期反转利润和价值溢价，发现一个标准跨期资产定价模型能解释这些现象。
We examine the implications of short-run and long-run consumption risks on the momentum and long-term contrarian profits and the value premium in a unified economic framework. By introducing time-varying firm cash flow exposures to the short-run and long-run shocks in consumption growth, we find the otherwise standard intertemporal asset pricing model goes a long way toward generating the momentum and long-term contrarian profits and the value premium. The model also reproduces the size effect, the pairwise correlations between the profitabilities of these investment strategies, and the performance of the standard CAPM and the consumption CAPM in explaining these well-documented return behaviors. Received January 25, 2016; editorial decision July 21, 2016 by Editor Leonid Kogan.