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

Pankaj Chandorkar, Sunil Poshakwale

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    Abstract

    We 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 shocks.
    Original languageEnglish
    Number of pages41
    Publication statusPublished - 4 May 2017
    Event24th Global Finance Conference - Hofstra University, Hempstead, NY, United States
    Duration: 4 May 20176 May 2017
    https://www.glofin.org/single-post/2017/05/06/2017-Global-Finance-Conference---Hempstead-NY-USA

    Conference

    Conference24th Global Finance Conference
    Country/TerritoryUnited States
    CityHempstead, NY
    Period4/05/176/05/17
    Internet address

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