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65095 |
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|a Gomes, Joao
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|a Sloan School of Management
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|a Kogan, Leonid
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|a Kogan, Leonid
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|a Kogan, Leonid
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|a Yogo, Motohiro
|e author
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|a Durability of Output and Expected Stock Returns
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|b University of Chicago Press,
|c 2011-08-05T18:32:37Z.
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| 856 |
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|z Get fulltext
|u http://hdl.handle.net/1721.1/65095
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|a The demand for durable goods is more cyclical than that for nondurable goods and services. Consequently, the cash flows and stock returns of durable-good producers are exposed to higher systematic risk. Using the benchmark input-output accounts of the National Income and Product Accounts, we construct portfolios of durable-good, nondurable-good, and service producers. In the cross section, an investment strategy that is long on the durable-good portfolio and short on the service portfolio earns a risk premium exceeding 4 percent annually. In the time series, an investment strategy that is long on the durable-good portfolio and short on the market portfolio earns a countercyclical risk premium. We explain these findings in a general equilibrium asset-pricing model with endogenous production.
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|a en_US
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|a Article
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|t Journal of Political Economy
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