理性资产定价(PDF 26页)

ABSTRACT
The mean, covariability, and predictability of the return of different classes of
financial assets challenge the rational economic model for an explanation. The
unconditional mean aggregate equity premium is almost seven percent per year
and remains high after adjusting downwards the sample mean premium by introducing
prior beliefs about the stationarity of the price–dividend ratio and the ~non!-
forecastability of the long-term dividend growth and price–dividend ratio. Recognition
that idiosyncratic income shocks are uninsurable and concentrated in recessions
contributes toward an explanation. Also borrowing constraints over the investors’
life cycle that shift the stock market risk to the saving middle-aged consumers
contribute toward an explanation.
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