Asset Pricing with Garbage
提出一种新的消费度量指标“垃圾”，它比传统NIPA消费支出波动更大且与股票相关性更高；基于垃圾的消费资本资产定价模型能以17的相对风险厌恶系数匹配美国股权溢价，并规避股权溢价-无风险利率联合之谜，该结果在欧洲数据中也成立。
ABSTRACT A new measure of consumption, garbage, is more volatile and more correlated with stocks than the canonical measure, National Income and Product Accounts (NIPA) consumption expenditure. A garbage‐based consumption capital asset pricing model matches the U.S. equity premium with relative risk aversion of 17 versus 81 and evades the joint equity premium‐risk‐free rate puzzle. These results carry through to European data. In a cross‐section of size, value, and industry portfolios, garbage growth is priced and drives out NIPA expenditure growth.