Human Capital, Weak Identification, and Asset Pricing
提出一种新方法，将人力资本及所有股票与非股票财富纳入财富组合的收益率估计，并用美国数据检验Epstein-Zin-Weil模型，发现该模型能以合理参数同时匹配历史平均股权溢价、无风险利率和股票收益波动。
I develop a new approach to accounting for human capital and essentially all stock and non-stock wealth in estimating the return on wealth portfolio. Using the estimated return and aggregate U.S. data in weak-identification robust tests of the Epstein and Zin (1991) and Weil (1990) model, I find that the model can simultaneously match the historical average equity premium, risk-free rate, and stock return volatility with reasonable parameter values.