Jacobs is from the Faculty of Management, McGill University, and CIRANO; Wang is from the Joseph L. Rotman School of Management, University of Toronto. We would like to thank Joao Cocco, Francisco Gomes, Rick Green, Raymond Kan, Yuming Li, Tom McCurdy, Valery Polkovnichenko, Sergei Sarkissian, Raman Uppal, Petr Zemcik, an anonymous referee and seminar participants at the 2003 AFA meeting, the 2002 EFA meeting, the universities of Tilburg, Leuven, and Gent, Charles University in Prague, and the London Business School for helpful comments. We are also grateful to Eugene Fama and Raymond Kan for providing us with the asset return data. Jacobs acknowledges FCAR and SSHRC, and Wang acknowledges SSHRC and the Connaught Fund at the University of Toronto for financial support.
Idiosyncratic Consumption Risk and the Cross Section of Asset Returns
Version of Record online: 27 NOV 2005
© 2004 the American Finance Association
The Journal of Finance
Volume 59, Issue 5, pages 2211–2252, October 2004
How to Cite
JACOBS, K. and WANG, K. Q. (2004), Idiosyncratic Consumption Risk and the Cross Section of Asset Returns. The Journal of Finance, 59: 2211–2252. doi: 10.1111/j.1540-6261.2004.00697.x
- Issue online: 27 NOV 2005
- Version of Record online: 27 NOV 2005
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