Can a well‐fitted equilibrium asset‐pricing model produce mean reversion?
指出Cecchetti等人和Kandel与Stambaugh的结论依赖于错误的马尔可夫转换模型设定；修正后模型无法产生数据中观测到的均值回归，且少量均值回归仅源于小样本偏差。
Abstract In recent papers, Cecchetti et al . (1990) and Kandel and Stambaugh (1990) showed that negative serial correlation in long horizon returns was consistent with an equilibrium model of asset pricing. In this paper, we show that their results rely on misspecified Markov switching models for the endowment process. Once the proper Markov specification is chosen for the endowment process, the model does not produce mean reversion of the magnitude detected in the data. Furthermore, the small amount of mean reversion produced by the model is due only to small sample bias. We also show that this model is unable to predict negative excess returns, contrary to empirical evidence.