TY  - UNPD
A1  - Dittmar, Robert F.
A1  - Schlag, Christian
A1  - Thimme, Julian
T1  - Non-substitutable consumption growth risk
N2  - Standard applications of the consumption-based asset pricing model assume that goods and services within the nondurable consumption bundle are substitutes. We estimate substitution elasticities between different consumption bundles and show that households cannot substitute energy consumption by consumption of other nondurables. As a consequence, energy consumption affects the pricing function as a separate factor. Variation in energy consumption betas explains a large part of the premia related to value, investment, and operating profitability. For example, value stocks are typically more energy-intensive than growth stocks and thus riskier, since they suffer more from the oil supply shocks that also affect households.
T3  - SAFE working paper - 408 
KW  - asset pricing
KW  - consumption
KW  - cross-section of stock return
KW  - utility functions
Y1  - 2023
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/71539
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-715396
UR  - https://ssrn.com/abstract=3289249
N1  - An earlier version of this paper circulated under the title "Fuel is Pumping Premiums: A Consumption-based Explanation of the Value Anomaly".
PB  - SAFE
CY  - Frankfurt am Main
ER  -