Understanding Risk and Return
用均衡多因子模型解释美国战后股票和债券回报的横截面模式，发现股市风险是超额回报的主因，但考虑人力资本或均值回归时，风险厌恶系数远高于股市风险价格。
This paper uses an equilibrium multifactor model to interpret the cross-sectional pattern of postwar U.S. stock and bond returns. Priced factors include the return on a stock index, revisions in forecasts of future stock returns (to capture intertemporal hedging effects), and revisions in forecasts of future labor income growth (proxies for the return on human capital). Aggregate stock market risk is the main factor determining excess returns; but in the presence of human capital or stock market mean reversion, the coefficient of relative risk aversion is much higher than the price of stock market risk.