The Role of Heterogeneity in Asset Pricing: The Effect of a Clustering Approach
使用聚类方法研究家庭异质性在资产定价中的作用，发现基于消费增长偏度的聚类平均能解释股权溢价，而传统个体数据方法不可靠。
In this article we use a novel clustering approach to study the role of heterogeneity in asset pricing. We present evidence that the equity premium is consistent with a stochastic discount factor (SDF) calculated as the average of the household clusters’ intertemporal marginal rates of substitution in the 1984--2002 period. The result is driven by the skewness of the cluster-based cross-sectional distribution of consumption growth, but cannot be explained by the cross-sectional variance and mean alone. We find that nine clusters are sufficient to explain the equity premium with relative risk aversion coefficient equal to six. The result is robust to various averaging schemes of cluster-based consumption growth used to construct the SDF. Lastly, the analysis reveals that standard approximation schemes of the SDF using individual household data produce unreliable results, implying a negative SDF.