@article{MULLER2018c,
title = {Consumption volatility ambiguity and risk premium’s time-variation},
author = {Janis Müller and Peter N Posch},
url = {https://www.sciencedirect.com/science/article/abs/pii/S1544612318301922?via%3Dihub},
doi = {10.1016/j.frl.2018.08.016},
issn = {1544-6123},
year = {2019},
date = {2019-06-01},
journal = {Finance Research Letters},
volume = {29},
pages = {336-339},
abstract = {In a consumption based asset pricing model one can calculate the volatility of (log-)consumption growth from the expected market return and from the risk-free rate. We propose to use the difference between these estimates to measure ambiguity about consumption volatility. Using a long dataset we show this measure explains up to 69% of post-war variation in the market risk premium.},
keywords = {Ambiguity, Stochastic volatility, Time-varying equity premium},
pubstate = {published},
tppubtype = {article}
}
In a consumption based asset pricing model one can calculate the volatility of (log-)consumption growth from the expected market return and from the risk-free rate. We propose to use the difference between these estimates to measure ambiguity about consumption volatility. Using a long dataset we show this measure explains up to 69% of post-war variation in the market risk premium.
