Please use this identifier to cite or link to this item: https://doi.org/10.1086/588200
Title: Consumption strikes back? Measuring long-run risk
Authors: Hansen, L.P.
Heaton, J.C.
Li, N. 
Issue Date: 2008
Source: Hansen, L.P., Heaton, J.C., Li, N. (2008). Consumption strikes back? Measuring long-run risk. Journal of Political Economy 116 (2) : 260-302. ScholarBank@NUS Repository. https://doi.org/10.1086/588200
Abstract: 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. © 2008 by The University of Chicago. All rights reserved.
Source Title: Journal of Political Economy
URI: http://scholarbank.nus.edu.sg/handle/10635/44442
ISSN: 00223808
DOI: 10.1086/588200
Appears in Collections:Staff Publications

Show full item record
Files in This Item:
File Description SizeFormatAccess SettingsVersion 
2008-consumption_strikes_back_measuring_long-run-published.pdf430.59 kBAdobe PDF

OPEN

PublishedView/Download

SCOPUSTM   
Citations

165
checked on Dec 7, 2017

WEB OF SCIENCETM
Citations

154
checked on Nov 29, 2017

Page view(s)

60
checked on Dec 11, 2017

Download(s)

8
checked on Dec 11, 2017

Google ScholarTM

Check

Altmetric


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.