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https://hdl.handle.net/1822/36261
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Campo DC | Valor | Idioma |
---|---|---|
dc.contributor.author | Armada, Manuel José da Rocha | por |
dc.contributor.author | Sousa, Ricardo M. | por |
dc.contributor.author | Wohar, Mark E. | por |
dc.date.accessioned | 2015-07-20T13:06:16Z | - |
dc.date.available | 2015-07-20T13:06:16Z | - |
dc.date.issued | 2015-05 | - |
dc.identifier.issn | 1062-9769 | por |
dc.identifier.uri | https://hdl.handle.net/1822/36261 | - |
dc.description.abstract | This paper derives a relationship between consumption growth, the consumption–wealth ratio and its first-difference, and asset returns. Using quarterly data for sixteen OECD countries, we find that the three-factor asset pricing model explains a large fraction of the variation in real stock returns. The model captures: (i) the concerns of agents with states of the world in which consumption growth is low; (ii) the preference of investors for a smooth consumption path as implied by the intertemporal budget constraint; and (ii) the role played by shifts in expectations about future returns due to positive or negative news about their wealth | por |
dc.description.sponsorship | COMPETE; QREN; FEDER | por |
dc.language.iso | eng | por |
dc.publisher | Elsevier 1 | por |
dc.relation | Fundação para a Ciência e Tecnologia | por |
dc.rights | restrictedAccess | por |
dc.subject | Consumption growth | por |
dc.subject | Intertemporal budget constraint | por |
dc.subject | Consumption–wealth ratio | por |
dc.subject | Expected returns | por |
dc.subject | Asset pricing | por |
dc.title | Consumption growth, preference for smoothing, changes in expectations and risk premium | por |
dc.type | article | por |
dc.peerreviewed | yes | por |
dc.relation.publisherversion | http://www.sciencedirect.com/science/article/pii/S1062976914000738 | por |
sdum.publicationstatus | published | por |
oaire.citationStartPage | 80 | por |
oaire.citationEndPage | 97 | por |
oaire.citationTitle | Quarterly Review of Economics and Finance | por |
oaire.citationVolume | 56 | por |
dc.identifier.doi | 10.1016/j.qref.2014.09.005 | por |
dc.subject.fos | Ciências Sociais::Economia e Gestão | por |
dc.subject.wos | Social Sciences | por |
sdum.journal | Quarterly Review of Economics and Finance | por |
Aparece nas coleções: | NIPE - Artigos em Revistas de Circulação Internacional com Arbitragem Científica |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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Consumptiongrowth_RicardoSOusa_MJRochaArmada.pdf Acesso restrito! | Consumption growth, preference for smoothing, changes in expectations and risk premium | 837,44 kB | Adobe PDF | Ver/Abrir |