DMCA
2009), "Consumption Volatility Risk
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@MISC{Boguth_2009),"consumption,
author = {Oliver Boguth and Lars-alexander Kuehn},
title = {2009), "Consumption Volatility Risk},
year = {}
}
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Abstract
While many papers test the consumption CAPM based on realized consumption growth, little is known about how the time-variation of consumption growth volatility affects asset prices. In a model with recursive preferences and unobservable conditional mean and volatility of consumption growth, prior beliefs about conditional moments of consumption growth affect excess returns. Empirically, we find that perceived consumption volatility is a priced source of risk and exposure to it negatively predicts future returns in the crosssection. In the time-series, beliefs about the volatility state strongly forecast aggregate quarterly excess returns. JEL Classification: G12, G17, E44.
Keyphrases
consumption volatility risk consumption growth future return aggregate quarterly excess return conditional moment consumption growth volatility recursive preference consumption volatility unobservable conditional mean realized consumption growth excess return asset price consumption capm jel classification many paper volatility state
