Durability of Output and Expected Stock Returns
cross-section, a strategy that is long on durables and short on services earns a sizable risk premium. In the time series, a strategy that is long on durables and short on the market portfolio earns a countercyclical risk premium. We develop an equilibrium asset-pricing model that explains these empirical findings.
Year of publication: |
2007
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Authors: | Yogo, Motohiro ; Kogan, Leonid ; Gomes, Joao |
Institutions: | Society for Economic Dynamics - SED |
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