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Essays on the cross section of stock...

Wang, Yong.

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Essays on the cross section of stock returns.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Essays on the cross section of stock returns./
Author:	Wang, Yong.
Description:	139 p.
Notes:	Source: Dissertation Abstracts International, Volume: 66-06, Section: A, page: 2330.
Contained By:	Dissertation Abstracts International66-06A.
Subject:	Economics, Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3177824
ISBN:	9780542174261

Essays on the cross section of stock returns.
Wang, Yong.

Essays on the cross section of stock returns. - 139 p.

Source: Dissertation Abstracts International, Volume: 66-06, Section: A, page: 2330.

Thesis (Ph.D.)--Northwestern University, 2005.

In chapter 1, we demonstrate, using data for the period 1954--2003, that differences in exposure to consumption risk explains cross sectional differences in average excess returns across the 25 benchmark equity portfolios constructed by Fama and French (1993). We use yearly returns on stocks to take into account well documented within year deterministic seasonal patterns in returns, measurement errors in the consumption data, and possible slow adjustment of consumption to changes in wealth due to habit and prior commitments. Consumption during the fourth quarter is likely to have a larger discretionary component. Further, given the availability of more leisure time during the holiday season and the ending of the tax year in December, investors are more likely to review their asset holdings and make consumption decisions during the fourth quarter. We therefore match the growth rate in the fourth quarter consumption from one year to the next with the corresponding calendar year return when computing the latter's exposure to consumption risk. We find strong support for our consumption risk model specification in the data.

ISBN: 9780542174261Subjects--Topical Terms:

626650
Economics, Finance.

Essays on the cross section of stock returns.
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020 $a 9780542174261
035 $a (UnM)AAI3177824
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100 1 $a Wang, Yong. $3 758651
245 1 0 $a Essays on the cross section of stock returns.
300 $a 139 p.
500 $a Source: Dissertation Abstracts International, Volume: 66-06, Section: A, page: 2330.
500 $a Advisers: Deborah Lucas; Ravi Jagannathan.
502 $a Thesis (Ph.D.)--Northwestern University, 2005.
520 $a In chapter 1, we demonstrate, using data for the period 1954--2003, that differences in exposure to consumption risk explains cross sectional differences in average excess returns across the 25 benchmark equity portfolios constructed by Fama and French (1993). We use yearly returns on stocks to take into account well documented within year deterministic seasonal patterns in returns, measurement errors in the consumption data, and possible slow adjustment of consumption to changes in wealth due to habit and prior commitments. Consumption during the fourth quarter is likely to have a larger discretionary component. Further, given the availability of more leisure time during the holiday season and the ending of the tax year in December, investors are more likely to review their asset holdings and make consumption decisions during the fourth quarter. We therefore match the growth rate in the fourth quarter consumption from one year to the next with the corresponding calendar year return when computing the latter's exposure to consumption risk. We find strong support for our consumption risk model specification in the data.
520 $a Many factor models, with a variety of conditioning variables, have been proposed to explain cross-sectional returns. In chapter 2, we run a horse race among several proposed models. The purpose is to better understand which factors, in combination with which conditioning variables, explain the cross section of returns better, and to seek an economic interpretation of the specifications that appear most promising. We find that a consumption growth factor, conditioning on lagged business income growth, is the most successful in explaining cross sectional variation of average quarterly returns in the 25 Fama-French portfolios.
590 $a School code: 0163.
650 4 $a Economics, Finance. $3 626650
690 $a 0508
710 2 0 $a Northwestern University. $3 1018161
773 0 $t Dissertation Abstracts International $g 66-06A.
790 1 0 $a Lucas, Deborah, $e advisor
790 1 0 $a Jagannathan, Ravi, $e advisor
790 $a 0163
791 $a Ph.D.
792 $a 2005
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3177824