The impact of aggregate and disaggregate consumption shocks on the Equity Risk Premium in the United Kingdom

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dc.contributor.author Poshakwale, Sunil S.
dc.contributor.author Chandorkar, Pankaj
dc.date.accessioned 2020-01-29T11:02:17Z
dc.date.available 2020-01-29T11:02:17Z
dc.date.issued 2019-11-01
dc.identifier.citation Poshakwale S & Chandorkar P. The impact of aggregate and disaggregate consumption shocks on the Equity Risk Premium in the United Kingdom. Annals of Economics and Finance, Volume 20, Issue 2, 2019, pp. 489-524 en_UK
dc.identifier.issn 1529-7373
dc.identifier.uri http://aeconf.com/Articles/Nov2019/aef200201.pdf
dc.identifier.uri http://dspace.lib.cranfield.ac.uk/handle/1826/15037
dc.description.abstract We examine the impact of aggregate and disaggregate consumption shocks on the ex-post Equity Risk Premium (ERP) of FTSE indices and the 25 Fama-French portfolios. Findings suggest that aggregate consumption shocks seem to explain significant time variation in the ERP. At disaggregated level, the ERP increases when the actual consumption is less than expected. Finally, durable and semi-durable consumption shocks have a greater impact on the ERP than non-durable consumption shocks en_UK
dc.language.iso en en_UK
dc.publisher Peking University Press en_UK
dc.rights Attribution 4.0 International *
dc.rights.uri http://creativecommons.org/licenses/by/4.0/ *
dc.subject Equity Risk Premium en_UK
dc.subject Consumption Wealth Channel en_UK
dc.subject Consumption Shocks en_UK
dc.subject Structural Vector Autoregression en_UK
dc.subject Asset Pricing en_UK
dc.title The impact of aggregate and disaggregate consumption shocks on the Equity Risk Premium in the United Kingdom en_UK
dc.type Article en_UK


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