Essays on Consumption and Expected Returns (Paperback) (ISBN-13: 9783639068566)

This thesis consists of three essays on the relationship between con-sumption, the business cycle, and expected returns on financial assets. The first essay is "A Consumption-Based Explanation of Expected Stock Returns". A revised version of the essay was published in The Journal of Finance 61:2 (April 2006), pp. 539-580. The second essay is "Esti-mating the Elasticity of Intertemporal Substitution When Instruments Are Weak". The essay was published in The Review of Economics and Statistics 86:3 (August 2004), pp. 797-810. The third essay is "Efficient Tests of Stock Return Predictability", coauthored by John Y. Campbell. A revised version of the essay was published in the Journal of Financial Economics 81:1 (July 2006), pp. 27-60. The thesis was awarded the 2005 Zellner Thesis Award in Business and Economic Statistics by the American Statistical Association.

Author: Motohiro Yogo
ISBN-10: 3639068564
ISBN-13: 9783639068566
Publisher: VDM Verlag Dr. Mueller E.K.
Language: English
Published: 07/30/2008
Pages: 164
Format: Paperback
Weight: 0.50lbs
Size: 9.00h x 6.00w x 0.35d