Motohiro Yogo is with the Wharton School of the University of Pennsylvania. This paper is a substantially revised version of Chapter 1 of my PhD thesis at Harvard University. An earlier draft was circulated as “A Consumption-Based Explanation of the Cross Section of Expected Stock Returns.” I am grateful for advice and encouragement from my thesis committee: John Campbell (chair), James Stock, and Tuomo Vuolteenaho. I have also benefited from comments by John Cochrane, Domenico Cuoco, Borja Larrain, Jonathan Parker, Monika Piazzesi, Amir Yaron, the referees and an associate editor, and seminar participants at Carnegie Mellon, the Federal Reserve Board, Harvard (Economics Department, Business School, and Kennedy School of Government), Michigan, NYU, Northwestern, Princeton, Stanford, UCLA, Wharton, and Yale. This paper is based upon work supported under a National Science Foundation Graduate Research Fellowship.
A Consumption-Based Explanation of Expected Stock Returns
Version of Record online: 9 MAR 2006
© 2006 the American Finance Association
The Journal of Finance
Volume 61, Issue 2, pages 539–580, April 2006
How to Cite
YOGO, M. (2006), A Consumption-Based Explanation of Expected Stock Returns. The Journal of Finance, 61: 539–580. doi: 10.1111/j.1540-6261.2006.00848.x
- Issue online: 9 MAR 2006
- Version of Record online: 9 MAR 2006
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