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Author(s)

Christopher Malloy

Tobias Moskowitz

Annette Vissing-Jorgensen

We provide new evidence on the success of long-run risks in asset pricing by focusing on the risks borne by stockholders . Exploiting microlevel household consumption data, we show that long-run stockholder consumption risk better captures cross-sectional variation in average asset returns than aggregate or
Date Published: 2009
Citations: Malloy, Christopher, Tobias Moskowitz, Annette Vissing-Jorgensen. 2009. Long-Run Stockholder Consumption Risk and Asset Returns. Journal of Finance.