Durability of output and expected stock returns:
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...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Cambridge, Mass.
National Bureau of Economic Research
2007
|
| Series: | Working paper series / National Bureau of Economic Research
12986 |
| Links: | http://papers.nber.org/papers/w12986.pdf |
| Summary: | 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. |
| Physical Description: | 61 S. graph. Darst. 22 cm |
Staff View
MARC
| LEADER | 00000nam a2200000zcb4500 | ||
|---|---|---|---|
| 001 | BV023592899 | ||
| 003 | DE-604 | ||
| 005 | 20080327000000.0 | ||
| 007 | t| | ||
| 008 | 070607s2007 xxud||| |||| 00||| eng d | ||
| 035 | |a (OCoLC)255601438 | ||
| 035 | |a (DE-599)GBV527896772 | ||
| 040 | |a DE-604 |b ger | ||
| 041 | 0 | |a eng | |
| 044 | |a xxu |c XD-US | ||
| 049 | |a DE-521 | ||
| 050 | 0 | |a HB1 | |
| 100 | 1 | |a Gomes, João |e Verfasser |0 (DE-588)124541895 |4 aut | |
| 245 | 1 | 0 | |a Durability of output and expected stock returns |c Joao F. Gomes ; Leonid Kogan ; Motohiro Yogo |
| 264 | 1 | |a Cambridge, Mass. |b National Bureau of Economic Research |c 2007 | |
| 300 | |a 61 S. |b graph. Darst. |c 22 cm | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a Working paper series / National Bureau of Economic Research |v 12986 | |
| 520 | 8 | |a 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. | |
| 700 | 1 | |a Kogan, Leonid |d 1974- |e Verfasser |0 (DE-588)124834167 |4 aut | |
| 700 | 1 | |a Yogo, Motohiro |e Verfasser |0 (DE-588)132879042 |4 aut | |
| 776 | 0 | 8 | |i Erscheint auch als |n Online-Ausgabe |
| 810 | 2 | |a National Bureau of Economic Research <Cambridge, Mass.> |t NBER working paper series |v 12986 |w (DE-604)BV002801238 |9 12986 | |
| 856 | 4 | 1 | |u http://papers.nber.org/papers/w12986.pdf |z kostenfrei |3 Volltext |
| 943 | 1 | |a oai:aleph.bib-bvb.de:BVB01-016908229 | |
Record in the Search Index
| _version_ | 1818965835407949824 |
|---|---|
| any_adam_object | |
| author | Gomes, João Kogan, Leonid 1974- Yogo, Motohiro |
| author_GND | (DE-588)124541895 (DE-588)124834167 (DE-588)132879042 |
| author_facet | Gomes, João Kogan, Leonid 1974- Yogo, Motohiro |
| author_role | aut aut aut |
| author_sort | Gomes, João |
| author_variant | j g jg l k lk m y my |
| building | Verbundindex |
| bvnumber | BV023592899 |
| callnumber-first | H - Social Science |
| callnumber-label | HB1 |
| callnumber-raw | HB1 |
| callnumber-search | HB1 |
| callnumber-sort | HB 11 |
| callnumber-subject | HB - Economic Theory and Demography |
| ctrlnum | (OCoLC)255601438 (DE-599)GBV527896772 |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01937nam a2200349zcb4500</leader><controlfield tag="001">BV023592899</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20080327000000.0</controlfield><controlfield tag="007">t|</controlfield><controlfield tag="008">070607s2007 xxud||| |||| 00||| eng d</controlfield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)255601438</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)GBV527896772</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="044" ind1=" " ind2=" "><subfield code="a">xxu</subfield><subfield code="c">XD-US</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-521</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HB1</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Gomes, João</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)124541895</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Durability of output and expected stock returns</subfield><subfield code="c">Joao F. Gomes ; Leonid Kogan ; Motohiro Yogo</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Cambridge, Mass.</subfield><subfield code="b">National Bureau of Economic Research</subfield><subfield code="c">2007</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">61 S.</subfield><subfield code="b">graph. Darst.</subfield><subfield code="c">22 cm</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="1" ind2=" "><subfield code="a">Working paper series / National Bureau of Economic Research</subfield><subfield code="v">12986</subfield></datafield><datafield tag="520" ind1="8" ind2=" "><subfield code="a">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.</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Kogan, Leonid</subfield><subfield code="d">1974-</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)124834167</subfield><subfield code="4">aut</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Yogo, Motohiro</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)132879042</subfield><subfield code="4">aut</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Online-Ausgabe</subfield></datafield><datafield tag="810" ind1="2" ind2=" "><subfield code="a">National Bureau of Economic Research <Cambridge, Mass.></subfield><subfield code="t">NBER working paper series</subfield><subfield code="v">12986</subfield><subfield code="w">(DE-604)BV002801238</subfield><subfield code="9">12986</subfield></datafield><datafield tag="856" ind1="4" ind2="1"><subfield code="u">http://papers.nber.org/papers/w12986.pdf</subfield><subfield code="z">kostenfrei</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="943" ind1="1" ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-016908229</subfield></datafield></record></collection> |
| id | DE-604.BV023592899 |
| illustrated | Illustrated |
| indexdate | 2024-12-20T13:23:19Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016908229 |
| oclc_num | 255601438 |
| open_access_boolean | 1 |
| owner | DE-521 |
| owner_facet | DE-521 |
| physical | 61 S. graph. Darst. 22 cm |
| publishDate | 2007 |
| publishDateSearch | 2007 |
| publishDateSort | 2007 |
| publisher | National Bureau of Economic Research |
| record_format | marc |
| series2 | Working paper series / National Bureau of Economic Research |
| spelling | Gomes, João Verfasser (DE-588)124541895 aut Durability of output and expected stock returns Joao F. Gomes ; Leonid Kogan ; Motohiro Yogo Cambridge, Mass. National Bureau of Economic Research 2007 61 S. graph. Darst. 22 cm txt rdacontent n rdamedia nc rdacarrier Working paper series / National Bureau of Economic Research 12986 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. Kogan, Leonid 1974- Verfasser (DE-588)124834167 aut Yogo, Motohiro Verfasser (DE-588)132879042 aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.> NBER working paper series 12986 (DE-604)BV002801238 12986 http://papers.nber.org/papers/w12986.pdf kostenfrei Volltext |
| spellingShingle | Gomes, João Kogan, Leonid 1974- Yogo, Motohiro Durability of output and expected stock returns |
| title | Durability of output and expected stock returns |
| title_auth | Durability of output and expected stock returns |
| title_exact_search | Durability of output and expected stock returns |
| title_full | Durability of output and expected stock returns Joao F. Gomes ; Leonid Kogan ; Motohiro Yogo |
| title_fullStr | Durability of output and expected stock returns Joao F. Gomes ; Leonid Kogan ; Motohiro Yogo |
| title_full_unstemmed | Durability of output and expected stock returns Joao F. Gomes ; Leonid Kogan ; Motohiro Yogo |
| title_short | Durability of output and expected stock returns |
| title_sort | durability of output and expected stock returns |
| url | http://papers.nber.org/papers/w12986.pdf |
| volume_link | (DE-604)BV002801238 |
| work_keys_str_mv | AT gomesjoao durabilityofoutputandexpectedstockreturns AT koganleonid durabilityofoutputandexpectedstockreturns AT yogomotohiro durabilityofoutputandexpectedstockreturns |