A Consumption-Based Explanation of the Cross-Section of Returns ​

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Authors: Robert F. Stambaugh, Jianfeng Yu, Yuan Zhang
Year: 2017
Journal: Journal of Financial Economics
DOI: 10.1016/j.jfineco.2014.09.003
Publisher: https://www.sciencedirect.com/science/article/pii/S0304405X14001998

Keywords: q-factor, asset-pricing

Abstract ​

We propose a consumption-based explanation for the cross-section of returns.

Cite this paper ​

@misc{qfactor2017,
  title  = {A Consumption-Based Explanation of the Cross-Section of Returns},
  author = {Robert F. Stambaugh, Jianfeng Yu, Yuan Zhang},
  year   = {2017},
  journal = {Journal of Financial Economics},
  doi    = {10.1016/j.jfineco.2014.09.003},
  url    = {https://doi.org/10.1016/j.jfineco.2014.09.003},
}

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