Consumption habit and international stock returns

Li, Yuming and Zhong, Maosen (2005) Consumption habit and international stock returns. Journal of Banking & Finance, 29 3: 579-601. doi:10.1016/j.jbankfin.2004.05.020

Author Li, Yuming
Zhong, Maosen
Title Consumption habit and international stock returns
Journal name Journal of Banking & Finance   Check publisher's open access policy
ISSN 0378-4266
Publication date 2005
Sub-type Article (original research)
DOI 10.1016/j.jbankfin.2004.05.020
Volume 29
Issue 3
Start page 579
End page 601
Total pages 23
Editor C. Szego
E. I. Altman
J. D. Cummins
L. J. Mester
A. Saunders
Place of publication Amsterdam
Publisher Elsevier BV, North-Holland
Collection year 2005
Language eng
Subject C1
350301 Finance
710401 Finance and investment services
Abstract We use the consumption-based asset pricing model with habit formation to study the predictability and cross-section of returns from the international equity markets. We find that the predictability of returns from many developed countries' equity markets is explained in part by changing prices of risks associated with consumption relative to habit at the world as well as local levels. We also provide an exploratory investigation of the cross-sectional implications of the model under the complete world market integration hypothesis and find that the model performs mildly better than the traditional consumption-based model. the unconditional and conditional world CAPMs and a three-factor international asset pricing model. (C) 2004 Elsevier B.V. All rights reserved.
Keyword Business, Finance
Consumption-based Capm
Habit Formation
International Asset Pricing
Cross-sectional Test
Time-varying Risk
Heterogeneous Consumers
Mild Segmentation
Expected Returns
Currency Risk
Asset Prices
World Price
Q-Index Code C1

Document type: Journal Article
Sub-type: Article (original research)
Collections: Excellence in Research Australia (ERA) - Collection
2006 Higher Education Research Data Collection
UQ Business School Publications
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Citation counts: TR Web of Science Citation Count  Cited 11 times in Thomson Reuters Web of Science Article | Citations
Scopus Citation Count Cited 18 times in Scopus Article | Citations
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Created: Wed, 15 Aug 2007, 05:23:40 EST