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.
|Number of pages||41|
|Publication status||Published - 4 May 2017|
|Event||24th Global Finance Conference - Hofstra University, Hempstead, NY, United States|
Duration: 4 May 2017 → 6 May 2017
|Conference||24th Global Finance Conference|
|Period||4/05/17 → 6/05/17|