Publication: Short-run risk, business cycle, and the value premium
Short-run risk, business cycle, and the value premium
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Leippold, M., & He, Y. (2020). Short-run risk, business cycle, and the value premium. Journal of Economic Dynamics and Control, 120, 103993. https://doi.org/10.1016/j.jedc.2020.103993
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We jointly explain the equity and value premium variations in a model with both short-run (SRR) and long-run (LRR) consumption risk. In our empirical analysis, we find that SRR varies with the business cycle, and it has a substantial predictive power for market excess returns and the value premium—both in-sample and out-of-sample. The LRR component also differs significantly from zero, and value stocks have a larger exposure to both LRR and SRR than growth stocks. To explain these patterns in asset returns, we propose an extended LRR
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Leippold, M., & He, Y. (2020). Short-run risk, business cycle, and the value premium. Journal of Economic Dynamics and Control, 120, 103993. https://doi.org/10.1016/j.jedc.2020.103993
