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 signi cantly, 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 signi cant (but small) fraction of the time series variation of bond returns, and have substantial predictive power for future consumption growth.

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