Aggregate Consumption and the Predictability of Asset Returns
分析基于消费的折现因子对资产收益可预测性的影响，发现统计假设对模型表现影响不大，高折现率下存在合理的风险厌恶水平使收益不可预测。
This article analyzes the predictability of asset returns that are discounted using a consumption-based discount factor. The main objective of the analysis is to investigate how ancillary statistical assumptions affect the performance of this model. It is shown that, unlike tests of constant-discountrate models, tests of consumption-based models do not critically depend on statistical assumptions; for sufficiently high discount rates, there exist intuitively plausible rates of risk aversion for which appropriately discounted returns are unpredictable, regardless of the statistical specification. Test results are determined by serial correlation properties of prices and dividends and not by serial-correlation properties of returns.