INFORMATION AND THE EQUITY PREMIUM
研究了在标准代表性代理人交换经济中，信息如何影响平均股权溢价，发现信息有时会提高而非降低股权溢价，尤其关于消费或边际效用波动性的信息。
We determine how better information affects the average equity premium in a standard representative-agent exchange economy. Perfect information obviously eliminates the equity premium, and a particular kind of information about the level of future consumption always lowers the average equity premium. Surprisingly, information sometimes raises the average equity premium, no matter what the preferences of the representative agent. Information purely about the volatility either of consumption or the marginal utility of consumption raises the equity premium for a wide class of preferences. Moreover, information can raise the average equity premium by an arbitrarily large percentage (while still matching important magnitudes, such as average growth and the risk-free rate). We consider two different economies: a two-period economy with arbitrary preferences for the representative agent; and an infinite horizon economy, in which we restrict both preferences and the endowment distribution.