Long‐Run Risk: Is It There?
通过新闻覆盖率衡量投资者对经济增长前景的担忧，发现消费增长在长期具有高度可预测性，该预测性可解释5年及以上累计消费增长的23%至38%，且与资产价格紧密相关，其单因子模型在横截面上优于多个基准多因子模型。
ABSTRACT This paper documents the existence of a persistent component in consumption growth. We take a novel approach using news coverage to capture investor concern about economic growth prospects. We provide evidence that consumption growth is highly predictable over long horizons—our measure explains between 23% and 38% of cumulative future consumption growth at the five‐year horizon and beyond. Furthermore, we show a strong connection between this predictability and asset prices. Innovations to our measure price 51 standard portfolios in the cross section and our one‐factor model outperforms many benchmark macro‐ and return‐based multifactor models.