The ratio of consumption to total household wealth (i.e., tangible assets plus unobserved human wealth) is commonly … calculated from the estimation of a log-linear version of the household intertemporal budget constraint as a cointegrating … relationship between consumption, assets and earnings (i.e., the variable "cay"). The evidence in favor of a stable cointegrating …

This paper evaluates the central insight of the Consumption Capital Asset Pricing Model (CCAPM) that an asset …'s expected return is determined by its equilibrium risk to consumption. Rather than measure the risk of a portfolio by the … contemporaneous covariance of its return and consumption growth - as done in the previous literature on the CCAPM and the pattern of …

extended beyond the preceding period. We show that change in four-year consumption growth---the measure of consumption … coefficient much lower than any existing consumption measures under the standard consumption model. This outperformance of our …-year consumption growth encompasses other consumption measures in explaining the cross-sectional variation of expected returns on …

We show that a business-cycle component of consumption growth (dubbed business-cycle consumption) with cycles between 2 … aggregation of returns and consumption growth over suitable horizons. Consistent with our formalization, we show that the factor … loadings associated with consumption growth aggregated over a 2-year horizon have similar pricing ability as those associated …

Purpose: In this study, we empirically demonstrate how the new variable of "cyclical consumption" can capture … consumption risk and predict expected stock returns, which relationship is stronger and should be considered as the primary macro … cyclical consumption in the Korean capital market. Design/methodology/approach: The basic research design is composed of three …