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Essays on Consumption and Expected Returns

Essays on Consumption and Expected Returns

Motohiro Yogo

83,94 €
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Editorial:
KS OmniScriptum Publishing
Año de edición:
2008
Materia
Finanzas
ISBN:
9783639068566
83,94 €
IVA incluido
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Sobre IBD

This thesis consists of three essays on the relationship between con­sumption, 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 'Esti­mating 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.

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