Durability of output and expected stock returns
By: Joao F. Gomes, Leonid Kogan, Motohiro Yogo.
Contributors: Gomes, Joao F.; Kogan, Leonid.; Motohiro Yogo; National Bureau of Economic Research.
Series: NBER working paper series -- working paper 12986; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 12986.
Publisher: National Bureau of Economic Research
Published: 2007
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Description: "The demand for durable goods is more cyclical than that for nondurable goods and services.  Consequently, the cash flow and stock returns of durable-good producers are exposed to higher systematic risk.  Using the NIPA input-output tables, we construct portfolios of durable-good, nondurable-good, and service producers.  In the cross-section, a strategy that is long on durables and short on services earns a sizable risk premium.  In the time series, a strategy that is long on durables and short on the market portfolio earns a countercyclical risk premium.  We develop an equilibrium asset-pricing model that explains these empirical findings"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 5/25/2007.

Includes bibliographical references.

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