Essays on Consumption and Expected Returns - Motohiro Yogo - Books - VDM Verlag Dr. Müller - 9783639068566 - July 30, 2008
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Motohiro Yogo
Essays on Consumption and Expected Returns

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This thesis consists of three essays on the relationship between consumption, the business cycle, and expected returns on financial assets. The first essay is "A Consumption-Based Explanation of Expected Stock Returns". A revised version of the essay was published in The Journal of Finance 61:2 (April 2006), pp. 539-580. The second essay is "Estimating the Elasticity of Intertemporal Substitution When Instruments Are Weak". The essay was published in The Review of Economics and Statistics 86:3 (August 2004), pp. 797-810. The third essay is "Efficient Tests of Stock Return Predictability", coauthored by John Y. Campbell. A revised version of the essay was published in the Journal of Financial Economics 81:1 (July 2006), pp. 27-60. The thesis was awarded the 2005 Zellner Thesis Award in Business and Economic Statistics by the American Statistical Association.

Media Books     Paperback Book   (Book with soft cover and glued back)
Released July 30, 2008
ISBN13 9783639068566
Publishers VDM Verlag Dr. Müller
Pages 164
Dimensions 150 × 220 × 10 mm   ·   226 g
Language English  

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