Essec\Faculty\Model\Contribution {#2216
  #_index: "academ_contributions"
  #_id: "10583"
  #_source: array:26 [
    "id" => "10583"
    "slug" => "consumption-volatility-and-the-cross-section-of-stock-returns"
    "yearMonth" => "2015-03"
    "year" => "2015"
    "title" => "Consumption Volatility and the Cross-Section of Stock Returns"
    "description" => "TÉDONGAP, R. (2015). Consumption Volatility and the Cross-Section of Stock Returns. <i>Review of Finance (ex European Finance Review)</i>, 19(1), pp. 367-405."
    "authors" => array:1 [
      0 => array:3 [
        "name" => "TÉDONGAP Roméo"
        "bid" => "B00693411"
        "slug" => "tedongap-romeo"
      ]
    ]
    "ouvrage" => ""
    "keywords" => []
    "updatedAt" => "2021-07-13 14:31:39"
    "publicationUrl" => "http://rof.oxfordjournals.org/content/19/1/367"
    "publicationInfo" => array:3 [
      "pages" => "367-405"
      "volume" => "19"
      "number" => "1"
    ]
    "type" => array:2 [
      "fr" => "Articles"
      "en" => "Journal articles"
    ]
    "support_type" => array:2 [
      "fr" => "Revue scientifique"
      "en" => "Scientific journal"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "I derive and test multi-horizon implications of a consumption-based equilibrium model featuring fluctuating expected growth and volatility. My setup allows consumption dynamics to be estimated jointly with covariance risk prices in a single-stage generalized method of moment, and then inferences from asset pricing tests reflect uncertainty coming from factor estimation. I show that changes in consumption volatility are the key driver for explaining major asset pricing anomalies across risk horizons, while other factors play no or a secondary role. Value stocks and past long-term losers pay higher average returns mainly because they covary more negatively with these changes than what other stocks do."
      "en" => "I derive and test multi-horizon implications of a consumption-based equilibrium model featuring fluctuating expected growth and volatility. My setup allows consumption dynamics to be estimated jointly with covariance risk prices in a single-stage generalized method of moment, and then inferences from asset pricing tests reflect uncertainty coming from factor estimation. I show that changes in consumption volatility are the key driver for explaining major asset pricing anomalies across risk horizons, while other factors play no or a secondary role. Value stocks and past long-term losers pay higher average returns mainly because they covary more negatively with these changes than what other stocks do."
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2024-12-03T17:21:44.000Z"
    "docTitle" => "Consumption Volatility and the Cross-Section of Stock Returns"
    "docSurtitle" => "Journal articles"
    "authorNames" => "<a href="/cv/tedongap-romeo">TÉDONGAP Roméo</a>"
    "docDescription" => "<span class="document-property-authors">TÉDONGAP Roméo</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">2015</span>"
    "keywordList" => ""
    "docPreview" => "<b>Consumption Volatility and the Cross-Section of Stock Returns</b><br><span>2015-03 | Journal articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="http://rof.oxfordjournals.org/content/19/1/367" target="_blank">Consumption Volatility and the Cross-Section of Stock Returns</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 8.697312
  +"parent": null
}