Durability of Output and Expected Stock Returns
The demand for durable goods is more cyclical than that for nondurable goods and services. Consequently, the cash flows and stock returns of durable-good producers are exposed to higher systematic risk. Using the benchmark input-output accounts of the National Income and Product Accounts, we con...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Article |
| Language: | en_US |
| Published: |
University of Chicago Press
2011
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| Online Access: | http://hdl.handle.net/1721.1/65095 https://orcid.org/0000-0001-9387-9728 |
| _version_ | 1826197810895126528 |
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| author | Gomes, Joao Kogan, Leonid Yogo, Motohiro |
| author2 | Sloan School of Management |
| author_facet | Sloan School of Management Gomes, Joao Kogan, Leonid Yogo, Motohiro |
| author_sort | Gomes, Joao |
| collection | MIT |
| description | The demand for durable goods is more cyclical than that for nondurable
goods and services. Consequently, the cash flows and stock
returns of durable-good producers are exposed to higher systematic
risk. Using the benchmark input-output accounts of the National Income
and Product Accounts, we construct portfolios of durable-good,
nondurable-good, and service producers. In the cross section, an investment
strategy that is long on the durable-good portfolio and short
on the service portfolio earns a risk premium exceeding 4 percent
annually. In the time series, an investment strategy that is long on the
durable-good portfolio and short on the market portfolio earns a
countercyclical risk premium. We explain these findings in a general
equilibrium asset-pricing model with endogenous production. |
| first_indexed | 2024-09-23T10:53:30Z |
| format | Article |
| id | mit-1721.1/65095 |
| institution | Massachusetts Institute of Technology |
| language | en_US |
| last_indexed | 2024-09-23T10:53:30Z |
| publishDate | 2011 |
| publisher | University of Chicago Press |
| record_format | dspace |
| spelling | mit-1721.1/650952022-09-27T15:45:31Z Durability of Output and Expected Stock Returns Gomes, Joao Kogan, Leonid Yogo, Motohiro Sloan School of Management Kogan, Leonid Kogan, Leonid The demand for durable goods is more cyclical than that for nondurable goods and services. Consequently, the cash flows and stock returns of durable-good producers are exposed to higher systematic risk. Using the benchmark input-output accounts of the National Income and Product Accounts, we construct portfolios of durable-good, nondurable-good, and service producers. In the cross section, an investment strategy that is long on the durable-good portfolio and short on the service portfolio earns a risk premium exceeding 4 percent annually. In the time series, an investment strategy that is long on the durable-good portfolio and short on the market portfolio earns a countercyclical risk premium. We explain these findings in a general equilibrium asset-pricing model with endogenous production. 2011-08-05T18:32:37Z 2011-08-05T18:32:37Z 2009-10 Article http://purl.org/eprint/type/JournalArticle 0022-3808 http://hdl.handle.net/1721.1/65095 Gomes, João F., Leonid Kogan, and Motohiro Yogo. “Durability of Output and Expected Stock Returns.” Journal of Political Economy 117.5 (2009) : 941-986. © 2009 by The University of Chicago https://orcid.org/0000-0001-9387-9728 en_US http://dx.doi.org/10.1086/648882 Journal of Political Economy Article is made available in accordance with the publisher's policy and may be subject to US copyright law. Please refer to the publisher's site for terms of use. application/pdf University of Chicago Press MIT web domain |
| spellingShingle | Gomes, Joao Kogan, Leonid Yogo, Motohiro Durability of Output and Expected Stock Returns |
| title | Durability of Output and Expected Stock Returns |
| title_full | Durability of Output and Expected Stock Returns |
| title_fullStr | Durability of Output and Expected Stock Returns |
| title_full_unstemmed | Durability of Output and Expected Stock Returns |
| title_short | Durability of Output and Expected Stock Returns |
| title_sort | durability of output and expected stock returns |
| url | http://hdl.handle.net/1721.1/65095 https://orcid.org/0000-0001-9387-9728 |
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