MALLOY, CHRISTOPHER J.; MOSKOWITZ, TOBIAS J.; … - In: Journal of Finance 64 (2009) 6, pp. 2427-2479
We provide new evidence on the success of long-run risks in asset pricing by focusing on the risks borne by "stockholders". Exploiting microlevel household consumption data, we show that long-run stockholder consumption risk better captures cross-sectional variation in average asset returns...