S
Sydney C. Ludvigson
Researcher at New York University
Publications - 128
Citations - 14255
Sydney C. Ludvigson is an academic researcher from New York University. The author has contributed to research in topics: Consumption (economics) & Capital asset pricing model. The author has an hindex of 46, co-authored 125 publications receiving 13310 citations. Previous affiliations of Sydney C. Ludvigson include York University & Federal Reserve Bank of New York.
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Consumption, Aggregate Wealth, and Expected Stock Returns
TL;DR: In this article, the role of f luctuations in the aggregate consumption-wealth ratio for predicting stock returns was studied using U.S. quarterly stock market data, and it was shown that these fluctuations in the consumption-aggregate wealth ratio are strong predictors of both real stock returns and excess returns over a Treasury bill rate.
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Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying
TL;DR: This paper explored the ability of conditional versions of the CAPM and the consumption CAPM to explain the cross section of average stock returns and showed that such conditional models perform far better than unconditional specifications and about as well as the Fama-French three-factor model on portfolios sorted by size and book-to-market characteristics.
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Macro Factors in Bond Risk Premia
Sydney C. Ludvigson,Serena Ng +1 more
TL;DR: This article investigated the relationship between forecastable variation in excess bond returns and macroeconomic fundamentals and found that "real" and "inflation" factors have important forecasting power for future excess returns on U.S. government bonds, above and beyond the predictive power contained in forward rates and yield spreads.
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Resurrecting the (C)Capm: A Cross-Sectional Test When Risk Premia Wre Time-Varying
TL;DR: In this paper, the authors explore the ability of theoretically based asset pricing models such as the CAPM and the consumption CAPM to explain the cross-section of average stock returns.
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Consumer Confidence and Consumer Spending
TL;DR: In this paper, the authors evaluate the relationship between consumer attitudes and the real economy and find that consumer attitudes contain some information about future aggregate consumer expenditure growth, but much of that information is found in other economic and financial indicators and the independent information provided by consumer confidence predicts a relatively modest amount of additional variation in future consumer spending.