Information Quality and Long‐Run Risk: Asset Pricing Implications
在一个具有Kreps-Porteus偏好的一般均衡模型中，研究了关于持久生产率冲击的公共信息质量对资产定价的影响。低信息质量与高股权溢价、低消费增长波动性和低无风险利率波动性相关。校准结果在财富消费比率和总财富回报的矩方面显著优于Bansal-Yaron模型。
ABSTRACT I study the asset pricing implications of the quality of public information about persistent productivity shocks in a general equilibrium model with Kreps–Porteus preferences. Low information quality is associated with a high equity premium, a low volatility of consumption growth, and a low volatility of the risk‐free interest rate. The relationship between information quality and the equity premium differs from that in endowment economies. My calibration improves substantially upon the Bansal–Yaron model in terms of the moments of the wealth–consumption ratio and the return on aggregate wealth.