Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles
提出消费和股息增长包含长期可预测成分和波动的经济不确定性，结合Epstein-Zin偏好，解释了股权溢价、无风险利率等资产市场现象。
ABSTRACT We model consumption and dividend growth rates as containing (1) a small long‐run predictable component, and (2) fluctuating economic uncertainty (consumption volatility). These dynamics, for which we provide empirical support, in conjunction with Epstein and Zin's (1989) preferences, can explain key asset markets phenomena. In our economy, financial markets dislike economic uncertainty and better long‐run growth prospects raise equity prices. The model can justify the equity premium, the risk‐free rate, and the volatility of the market return, risk‐free rate, and the price–dividend ratio. As in the data, dividend yields predict returns and the volatility of returns is time‐varying.