Abstract

http://ssrn.com/abstract=641682
 
 

References (62)



 
 

Citations (51)



 


 



Lazy Investors, Discretionary Consumption, and the Cross Section of Stock Returns


Yong Wang


Hong Kong Polytechnic University - School of Accounting and Finance

Ravi Jagannathan


Northwestern University - Kellogg School of Management; National Bureau of Economic Research (NBER); SAIF; ISB

December 8, 2005

AFA 2006 Boston Meetings Paper

Abstract:     
When consumption betas of stocks are computed using consumption growth from 4th quarter of one year to the next, the CCAPM explains the cross section of stock returns as well as the Fama and French (1993) three factor model. The CCAPM performance deteriorates substantially when consumption growth is measured over other quarters. For the CCAPM to hold at any given point in time, investors must be making their consumption and investment decisions simultaneously at that point in time. We suspect that it is more likely to happen during the fourth quarter given the ending of the tax year in December.

Number of Pages in PDF File: 80

Keywords: CCAPM, Cost of Capital, Capital Asset Pricing Model, Consumption Risk, Systematic Risk, Infrequent Decisions

JEL Classification: G12

working papers series


Download This Paper

Date posted: January 4, 2005  

Suggested Citation

Wang, Yong and Jagannathan, Ravi, Lazy Investors, Discretionary Consumption, and the Cross Section of Stock Returns (December 8, 2005). AFA 2006 Boston Meetings Paper. Available at SSRN: http://ssrn.com/abstract=641682 or http://dx.doi.org/10.2139/ssrn.641682

Contact Information

Yong Wang
Hong Kong Polytechnic University - School of Accounting and Finance ( email )
Hung Hom, Kowloon
Hong Kong
Hong Kong
Ravi Jagannathan (Contact Author)
Northwestern University - Kellogg School of Management ( email )
2001 Sheridan Road
429 Andersen Hall
Evanston, IL 60208
United States
847-491-8338 (Phone)
847-491-5719 (Fax)
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
SAIF ( email )
Shanghai
China
ISB ( email )
Hyderabad, Gachibowli 500 019
India
Feedback to SSRN


Paper statistics
Abstract Views: 2,069
Downloads: 302
Download Rank: 19,830
References:  62
Citations:  51

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo5 in 0.328 seconds