Lazy Investors, Discretionary Consumption, and the Cross‐Section of Stock Returns
发现，用第四季度同比消费增长计算的消费贝塔能像Fama-French三因子模型一样解释股票回报横截面，而其他季度的表现较差，这可能与投资者在第四季度同时做消费和投资决策有关。
ABSTRACT When consumption betas of stocks are computed using year‐over‐year consumption growth based upon the fourth quarter, the consumption‐based asset pricing model (CCAPM) explains the cross‐section of stock returns as well as the Fama and French (1993) three‐factor model. The CCAPM's performance deteriorates substantially when consumption growth is measured based upon other quarters. For the CCAPM to hold at any given point in time, investors must make their consumption and investment decisions simultaneously at that point in time. We suspect that this is more likely to happen during the fourth quarter, given investors' tax year ends in December.