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Consumption Volatility Risk
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DOI：10.1111/jofi.12058.png)
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We show that time variation in macroeconomic uncertainty affects asset prices. Consumption volatility is a negatively priced source of risk for a wide variety of test portfolios. At the firm level, exposure to consumption volatility risk predicts future returns, generating a spread across quintile portfolios in excess of 7% annually. This premium is explained by cross-sectional differences in the sensitivity of dividend volatility to consumption volatility. Stocks with volatile cash flows in uncertain aggregate times require higher expected returns.
Keyword:
CROSS-SECTION
LONG-RUN
EMPIRICAL TESTS
ASSET RETURNS
STOCK RETURNS
BETA
EQUILIBRIUM
PREMIA
MODELS
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