VGSF Finance Research Seminar

Wirtschaftsuniversität Wien, Departments 3 D3.0.22511:00 - 12:30

Art Vortrag/Diskussion
Vortragende/rSvetlana Bryzgalova (Stanford University)
Veranstalter Wirtschaftsuniversität Wien The Consumption Risk of Bonds and Stocks
Kontakt office@vgsf.ac.at

The FRS informs about state-of-t­he-art rese­arch in Finance.


Aggre­gate consump­tion growth reacts slowly, but signi­cantly, to bond and stock return inno­va­tions. As a conse­quence, slow consump­tion adjust­ment (SCA) risk, measured by the reac­tion of consump­tion growth cumu­lated over many quar­ters follo­wing a return, can explain most of the cros­s-­sec­tional varia­tion of expected bond and stock returns. More­over, SCA shocks explain about a quarter of the time series varia­tion of consump­tion growth, a large part of the time series varia­tion of stock returns, and a signi­cant (but small) frac­tion of the time series varia­tion of bond returns, and have substan­tial predic­tive power for future consump­tion growth.

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