Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/41390 
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dc.contributor.authorGrammig, Joachim G.en
dc.contributor.authorSchrimpf, Andreasen
dc.contributor.authorSchuppli, Michaelen
dc.date.accessioned2010-10-28T14:42:59Z-
dc.date.available2010-10-28T14:42:59Z-
dc.date.issued2009-
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
dc.language.isoengen
dc.publisher|aUniversity of Cologne, Centre for Financial Research (CFR) |cCologneen
dc.relation.ispartofseries|aCFR working paper |x09-02en
dc.subject.jelG12en
dc.subject.jelG15en
dc.subject.ddc330en
dc.subject.keywordConsumption-based Asset Pricingen
dc.subject.keywordLong-Run Consumption Risken
dc.subject.keywordValue Puzzleen
dc.subject.keywordInternational Stock Marketsen
dc.subject.stwCapital Asset Pricing Modelen
dc.subject.stwKonsumtheorieen
dc.subject.stwKapitalertragen
dc.subject.stwAktienmarkten
dc.subject.stwDeutschlanden
dc.subject.stwUSAen
dc.subject.stwGroßbritannienen
dc.titleLong-horizon consumption risk and the cross-section of returns: New tests and international evidence-
dc.type|aWorking Paperen
dc.identifier.ppn605034001en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cfrwps:0902en

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