Asset Pricing with Garbage

A new measure of consumption, garbage, is more volatile and more correlated with stocks than the canonical measure, NIPA consumption expenditure. A garbage-based CCAPM matches the U.S. equity premium with relative risk aversion of 17 versus 81 and evades the joint equity premium-risk-free rate puzzle. These results carry through to European data. In a cross section of size, value, and industry portfolios, garbage growth is priced and drives out NIPA expenditure growth

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Year of publication:	[2014]
Authors:	Savov, Alexi
Publisher:	[2014]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (45 p)
Type of publication:	Book / Working Paper
Notes:	In: Journal of Finance, Forthcoming Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 20, 2010 erstellt
Classification:	E44 - Financial Markets and the Macroeconomy ; G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012750976