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dc.contributor.authorGrammig, Joachim G.en_US
dc.contributor.authorSchrimpf, Andreasen_US
dc.contributor.authorSchuppli, Michaelen_US
dc.date.accessioned2010-10-28T14:42:59Z-
dc.date.available2010-10-28T14:42:59Z-
dc.date.issued2009en_US
dc.identifier.urihttp://hdl.handle.net/10419/41390-
dc.description.abstractThis paper investigates whether measuring consumption risk over long horizons can improve the empirical performance of the Consumption CAPM for size and value premia in international stock markets (US, UK, and Germany). In order to account for commonalities in size and book-tomarket sorted portfolios, we also include industry portfolios in our set of test assets. Our results show that, contrary to the findings of Parker and Julliard (2005), the model falls short of providing an accurate description of the cross-section of returns under our modified empirical approach. At the same time, however, measuring consumption risk over longer horizons typically yields lower risk-aversion estimates. Thus, our results suggest that more plausible parameter estimates - as opposed to lower pricing errors - can be regarded as the main achievement of the long-horizon Consumption CAPM.en_US
dc.language.isoengen_US
dc.publisherCentre for Financial Research Cologneen_US
dc.relation.ispartofseriesCFR working paper 09-02en_US
dc.subject.jelG12en_US
dc.subject.jelG15en_US
dc.subject.ddc330en_US
dc.subject.keywordConsumption-based Asset Pricingen_US
dc.subject.keywordLong-Run Consumption Risken_US
dc.subject.keywordValue Puzzleen_US
dc.subject.keywordInternational Stock Marketsen_US
dc.subject.stwCapital Asset Pricing Modelen_US
dc.subject.stwKonsumtheorieen_US
dc.subject.stwKapitalertragen_US
dc.subject.stwAktienmarkten_US
dc.subject.stwDeutschlanden_US
dc.subject.stwUSAen_US
dc.subject.stwGroßbritannienen_US
dc.titleLong-horizon consumption risk and the cross-section of returns: New tests and international evidenceen_US
dc.typeWorking Paperen_US
dc.identifier.ppn605034001en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:cfrwps:0902-
Appears in Collections:CFR Working Papers, Centre for Financial Research (CFR), Universität Köln

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