Household production and asset prices

• Autores: Zhi Da, Wei Yang, Hayong Yun
• Localización: Management science: journal of the Institute for operations research and the management sciences, ISSN 0025-1909, Vol. 62, Nº. 2, 2016, págs. 387-409
• Idioma: inglés
• Texto completo no disponible (Saber más ...)
• Resumen

  • We empirically examine the asset pricing implications of the Beckerian framework of household production, where utility is derived from both market consumption and home produced goods. We propose residential electricity usage as a real-time proxy for the service flow from household capital, because electricity is used in most modern-day household production activities and it cannot be easily stored. Using U.S. residential electricity usage from 1955 to 2012, our model based on household production explains the equity premium and the cross section of expected stock returns (including those of industry portfolios) with an R2 of 71%.