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Guide to Security Based Compensation Arrangements

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In the language of macroeconomics, the main findings can be summarized as follows. When the elasticity of substitution between nondurable and durable consumption is higher than the EIS, the marginal utility of consumption rises when durable consumption falls. First, small stocks and value stocks deliver lowreturnswhenmarginal utility rises, that is, during recessionswhen durable consumption falls. Investors must therefore be rewarded with high expected returns to hold these risky stocks. Second, stocks deliver unexpectedly low re- turns when marginal utility rises sharply, that is, at business cycle troughs when durable consumption falls sharply relative to nondurable consumption. Investorsmust therefore be rewarded with high expected returns to hold stocks during recessions....

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