Measuring Consumption Risk When Investors May Make Infrequent Decisions: Evidence from Japan

摘要：

Using Japanese data we find that cross sectional differences in exposure to consumption risk, i.e., the risk that economy wide events may unfavorably affect consumption choices, explains the cross section of average returns on stocks, provided we allow for the possibility that investors may review their consumption plans and portfolio choices at infrequent intervals when measuring a stocks consumption risk exposure. The consumption risk premium we find using Japanese data is about the same that Jagannathan and Wang (2007) find using U.S. data.

关键词： CCAPM Cross-section of stock returns Japan stock market

作者: Ravi Jagannathan Hitoshi Takehara Yong Wang

作者单位: Kellogg School of Management, Northwestern University, Evanston, IL 60208, USA Graduate School of Finance, Accounting and Law, Waseda University, Tokyo 103-0027, Japan School of Accounting and Finance, Hong Kong Polytechnic University, Kowloon, Hong Kong, China

会议类型: 国际会议

会议名称: 2007年中国金融国际年会

会议地点: 成都

会议语种:英文

页码: 1-35

在线出版日期: 2007-07-09（万方平台首次上网日期，不代表论文的发表时间）