Cointegration and Consumption Risks in Asset Returns
收藏NBER2007-05-01 更新2025-01-04 收录
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https://www.nber.org/papers/w13108
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We argue that the cointegrating relation between dividends and consumption, a measure of long run consumption risks, is a key determinant of risk premia at all investment horizons. As the investment horizon increases, transitory risks disappear, and the asset's beta is dominated by long run
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美国国家经济研究局创建时间：
2007-05-01
