tag:blogger.com,1999:blog-582368152716771238.post4412233626989025750..comments2024-03-28T11:50:52.581-05:00Comments on The Grumpy Economist: Consumption-based model and value premiumJohn H. Cochranehttp://www.blogger.com/profile/04842601651429471525noreply@blogger.comBlogger7125tag:blogger.com,1999:blog-582368152716771238.post-12058490018532266282015-04-21T04:10:51.722-05:002015-04-21T04:10:51.722-05:00Thanks for this really interesting post.
The mod...Thanks for this really interesting post. <br /><br />The model actually also works surprisingly well with annual consumption data from the NIPA tables over the period from 1929 to 2014 if Campbell’s beginning-of-period timing convention is used. Mean excess returns on the ten value portfolios and consumption growth covariances: <br /><br />BM1 7.0 0.25 <br />BM2 8.2 0.24<br />BM3 7.9 0.22 <br />BM4 8.4 0.28 <br />BM5 9.2 0.27 <br />BM6 9.7 0.32 <br />BM7 9.8 0.31<br />BM8 12.1 0.34<br />BM9 12.6 0.31<br />BM10 14.0 0.39<br /><br />With this sample period, estimates of the risk aversion coefficient are about 20 (much less than 80). See: http://ssrn.com/abstract=1754019<br />Stig Møllernoreply@blogger.comtag:blogger.com,1999:blog-582368152716771238.post-50465967134993395172015-04-20T20:25:16.070-05:002015-04-20T20:25:16.070-05:00John, I feel like you're overlooking someone:
...John, I feel like you're overlooking someone:<br />http://users.business.uconn.edu/jgolec/phd/AssetPricing.pdfDanielnoreply@blogger.comtag:blogger.com,1999:blog-582368152716771238.post-41979359656381807362015-04-20T16:53:35.489-05:002015-04-20T16:53:35.489-05:00BTW, my data should be available at the "prob...BTW, my data should be available at the "problem set" link above. John H. Cochranehttps://www.blogger.com/profile/04842601651429471525noreply@blogger.comtag:blogger.com,1999:blog-582368152716771238.post-79040171789064804572015-04-20T16:47:52.850-05:002015-04-20T16:47:52.850-05:00book to market and high minus low?book to market and high minus low?LALhttps://www.blogger.com/profile/08196675112184615614noreply@blogger.comtag:blogger.com,1999:blog-582368152716771238.post-37279241133350033982015-04-20T16:47:04.899-05:002015-04-20T16:47:04.899-05:00Theory says nondurables or the service flow from d...Theory says nondurables or the service flow from durables. Including durables properly is another important item on the see-if-it-works agenda. John H. Cochranehttps://www.blogger.com/profile/04842601651429471525noreply@blogger.comtag:blogger.com,1999:blog-582368152716771238.post-59574127904412367942015-04-20T16:39:57.301-05:002015-04-20T16:39:57.301-05:00I didn't have as much luck verifying this unti...I didn't have as much luck verifying this until I realized you used annual data. I was also using the 5x5 Fama-French portfolios (so 25 total instead of 10), which adds a little variability to the results. <br /><br />I had noticed that Nominal GDP was doing better than some of the real consumption variables I had downloaded (also much better than real GDP), so I tried switching from real consumption to nominal consumption. When I was analyzing returns vs. real consumption, I had broken out PCE by durables, non-durables, services, and then tried to get some estimate of PCE ex durables, so I did that again with nominal versions of them all. In this case, nominal PCE durables actually had the highest R squared (headline nominal PCE's R^2 was below nominal GDP's R^2). So I'm not quite sure why you would want to exclude durables.Johnhttps://www.blogger.com/profile/01457388998903348000noreply@blogger.comtag:blogger.com,1999:blog-582368152716771238.post-12441979755883397502015-04-20T09:46:02.767-05:002015-04-20T09:46:02.767-05:00Your online class is awesome :)Your online class is awesome :)Anonymousnoreply@blogger.com