Yogo, Motohiro; Kogan, Leonid; Gomes, Joao - Society for Economic Dynamics - SED - 2007
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...