Consumption Risk and International Asset Returns: Some Empirical Evidence / Robert E. Cumby.

Format:

Book

Author/Creator:

Cumby, Robert E.

Contributor:

National Bureau of Economic Research.

Series:

Working Paper Series (National Bureau of Economic Research) no. w2383.

NBER working paper series no. w2383

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Other Title:

Consumption Risk and International Asset Returns

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1987.

Summary:

The paper examines if real stock returns in four countries are consistent with consumption-based models of international asset pricing. The paper finds that ex-ante real stock returns exhibit statistically significant fluctuations over time and that these fluctuations cannot be explained by consumption-based models when the conditional covariances between real stock returns and the rate of change of consumption are assumed to be constant over time. These conditional covariances are then modeled and the paper finds that they too exhibit statistically significant fluctuations over time. However, even when conditional covariances are allowed to change over time, the paper finds that the consumption-based models do not fully explain real stock returns.

Notes:

Print version record

September 1987.