This paper examines linear asset pricing models using aggregate consumption data which are not seasonally-adjusted. Portfolio returns exhibit more diverse and often stronger consumption correlations and the parameters of representativ-agent utility functions seem sto be estimated more precisely using these data. We incorporate seasonality in the form of “taste shift” can be rejected using a short term bill or multiple asset returns. The data indicate that the “equity premium puzzle” is not an artifact of seasonal stocks, and seems to involve not only the relation of average returns to consumption covariances, but also the patterns of variation in expected returns over time.
-
Faculty
- Academic Areas
- Awards & Honors
- Seminars
-
Conferences
- Accounting Summer Camp
- Big-Data Initiative in Intl. Macro-Finance
- California Econometrics Conference
- California Quantitative Marketing PhD Conference
- California School Conference
- China India Insights Conference
- Homo economicus, Evolving
-
Initiative on Business and Environmental Sustainability
- Political Economics (2023–24)
- Scaling Geologic Storage of CO2 (2023–24)
- A Resilient Pacific: Building Connections, Envisioning Solutions
- Adaptation and Innovation
- Changing Climate
- Civil Society
- Climate Impact Summit
- Climate Science
- Corporate Carbon Disclosures
- Earth’s Seafloor
- Environmental Justice
- Finance
- Marketing
- Operations and Information Technology
- Organizations
- Sustainability Reporting and Control
- Taking the Pulse of the Planet
- Urban Infrastructure
- Watershed Restoration
- Junior Faculty Workshop on Financial Regulation and Banking
- Ken Singleton Celebration
- Marketing Camp
- Quantitative Marketing PhD Alumni Conference
- Rising Scholars Conference
- Theory and Inference in Accounting Research
- Voices
- Publications
- Books
- Working Papers
- Case Studies
-
Research Labs & Initiatives
- Cities, Housing & Society Lab
- Corporate Governance Research Initiative
- Corporations and Society Initiative
- Golub Capital Social Impact Lab
- Policy and Innovation Initiative
- Rapid Decarbonization Initiative
- Stanford Latino Entrepreneurship Initiative
- Value Chain Innovation Initiative
- Venture Capital Initiative
- Behavioral Lab
- Data, Analytics & Research Computing