*Haas School of Business, University of California at Berkeley. Thanks to the many seminar participants who have commented on earlier versions of this paper, and also to an anonymous referee, John Campbell, Karen Dynan, Kris Jacobs, Martin Lettau, and Sydney Ludvigson.
Time Variation in the Covariance between Stock Returns and Consumption Growth
Version of Record online: 12 AUG 2005
© 2005 the American Finance Association
The Journal of Finance
Volume 60, Issue 4, pages 1673–1712, August 2005
How to Cite
DUFFEE, G. R. (2005), Time Variation in the Covariance between Stock Returns and Consumption Growth. The Journal of Finance, 60: 1673–1712. doi: 10.1111/j.1540-6261.2005.00777.x
- Issue online: 12 AUG 2005
- Version of Record online: 12 AUG 2005
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