Title: Durability of output and expected stock returns
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.