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

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dc.contributor.authorPoshakwale, Sunil S.
dc.contributor.authorChandorkar, Pankaj
dc.date.accessioned2020-01-29T11:02:17Z
dc.date.available2020-01-29T11:02:17Z
dc.date.issued2019-11-01
dc.description.abstractWe 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 shocksen_UK
dc.identifier.citationPoshakwale S, Chandorkar P. (2019) 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. 489-524en_UK
dc.identifier.issn1529-7373
dc.identifier.urihttp://aeconf.com/Articles/Nov2019/aef200201.pdf
dc.identifier.urihttp://dspace.lib.cranfield.ac.uk/handle/1826/15037
dc.language.isoenen_UK
dc.publisherPeking University Pressen_UK
dc.rightsAttribution 4.0 International*
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/*
dc.subjectEquity Risk Premiumen_UK
dc.subjectConsumption Wealth Channelen_UK
dc.subjectConsumption Shocksen_UK
dc.subjectStructural Vector Autoregressionen_UK
dc.subjectAsset Pricingen_UK
dc.titleThe impact of aggregate and disaggregate consumption shocks on the Equity Risk Premium in the United Kingdomen_UK
dc.typeArticleen_UK

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