Consumption habit and international stock returns |
| |
| Affiliation: | 1. Department of Finance, College of Business and Economics, California State University, Fullerton, CA 92834, USA;2. UQ Business School, The University of Queensland, Brisbane, Qld. 4072, Australia;1. College of Optical Sciences, Arizona Center for Mathematical Sciences (ACMS), University of Arizona, Tucson, AZ 85721, United States;2. Department of Mathematics and Statistics, University of New Mexico, 1 University of New Mexico, Albuquerque, NM 87131, United States;3. Department of Mathematics, Southern Methodist University, PO Box 750156, Dallas, TX 75275, United States;1. Department of Applied Economics, Utah State University, United States;2. Department of Economics and Finance, Utah State University, United States;1. Department of Mechanical and Aerospace Engineering, The Ohio State University, Columbus, OH 43210, United States;2. Air Force Research Laboratory, Edwards Air Force Base, CA 93524, United States |
| |
| Abstract: | We use the consumption-based asset pricing model with habit formation to study the predictability and cross-section of returns from the international equity markets. We find that the predictability of returns from many developed countries' equity markets is explained in part by changing prices of risks associated with consumption relative to habit at the world as well as local levels. We also provide an exploratory investigation of the cross-sectional implications of the model under the complete world market integration hypothesis and find that the model performs mildly better than the traditional consumption-based model, the unconditional and conditional world CAPMs and a three-factor international asset pricing model. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
