Consumption Strikes Back? Measuring Long‐Run Risk
We characterize and measure a long‐term risk‐return trade‐off for the valuation of cash flows exposed to fluctuations in macroeconomic growth. This trade‐off features risk prices of cash flows that are realized far into the future but continue to be reflected in asset values. We apply this analysis...
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| Veröffentlicht in: | The Journal of political economy 2008-04, Vol.116 (2), p.260-302 |
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| container_end_page | 302 |
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| container_issue | 2 |
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| container_title | The Journal of political economy |
| container_volume | 116 |
| creator | Hansen, Lars Peter Heaton, John C. Li, Nan |
| description | We characterize and measure a long‐term risk‐return trade‐off for the valuation of cash flows exposed to fluctuations in macroeconomic growth. This trade‐off features risk prices of cash flows that are realized far into the future but continue to be reflected in asset values. We apply this analysis to claims on aggregate cash flows and to cash flows from value and growth portfolios by imputing values to the long‐run dynamic responses of cash flows to macroeconomic shocks. We explore the sensitivity of our results to features of the economic valuation model and of the model cash flow dynamics. |
| doi_str_mv | 10.1086/588200 |
| format | Article |
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We explore the sensitivity of our results to features of the economic valuation model and of the model cash flow dynamics.</description><subject>Capital market</subject><subject>Cash flow</subject><subject>Consumer economics</subject><subject>Consumption</subject><subject>Dividends</subject><subject>Economic growth</subject><subject>Economic theory</subject><subject>Expected returns</subject><subject>Financial assets</subject><subject>Financial economics</subject><subject>Financial portfolios</subject><subject>Investment risk</subject><subject>Investors</subject><subject>Macroeconomics</subject><subject>Political economy</subject><subject>Risk aversion</subject><subject>Risk exposure</subject><subject>Stock prices</subject><subject>Studies</subject><subject>Valuation</subject><subject>Vector autoregression</subject><issn>0022-3808</issn><issn>1537-534X</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2008</creationdate><recordtype>article</recordtype><recordid>eNpdkMtKw0AUhgdRsFZ9AyGIuIvOJXPJSrR4g4pQFdyFycm0ppdMnJMs3PkIPqNPYiTSgmdzNh8fPx8hh4yeMWrUuTSGU7pFBkwKHUuRvG6TAaWcx8JQs0v2EOe0O0bFgIiRr7Bd1U3pq-ipCeXCYXRlYXERPTiLbSirWTT21ez782vSVtGkxMU-2ZnaJbqDvz8kLzfXz6O7ePx4ez-6HMeQcNXE2lngqXLagtDKmByA5yrRSSHzlBaFzk0hC2c1GLA0BcgFSzSonDtXpFqIITntvXXw763DJluVCG65tJXzLWZCpVRTrTrw-B84922oum0ZS2U3Rhq9sUHwiMFNszqUKxs-Mkaz33BZH64DT3qwhbcS7MzXwSFulGvsqMfm2PiwlvGua6qZET8zU3W0</recordid><startdate>20080401</startdate><enddate>20080401</enddate><creator>Hansen, Lars Peter</creator><creator>Heaton, John C.</creator><creator>Li, Nan</creator><general>The University of Chicago Press</general><general>University of Chicago, acting through its Press</general><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>20080401</creationdate><title>Consumption Strikes Back? 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| ispartof | The Journal of political economy, 2008-04, Vol.116 (2), p.260-302 |
| issn | 0022-3808 1537-534X |
| language | eng |
| recordid | cdi_uchicagopress_journals_588200 |
| source | EBSCO Business Source Complete; Jstor Complete Legacy; University of Chicago Press Journals |
| subjects | Capital market Cash flow Consumer economics Consumption Dividends Economic growth Economic theory Expected returns Financial assets Financial economics Financial portfolios Investment risk Investors Macroeconomics Political economy Risk aversion Risk exposure Stock prices Studies Valuation Vector autoregression |
| title | Consumption Strikes Back? Measuring Long‐Run Risk |
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