Stock Market Volatility and Learning
研究表明，若允许理性投资者从历史价格中学习，消费型资产定价模型能产生与真实股市相当的波动性，并解释收益波动、价格股息比及长期收益可预测性，但无法解释股权溢价。
ABSTRACT We show that consumption‐based asset pricing models with time‐separable preferences generate realistic amounts of stock price volatility if one allows for small deviations from rational expectations. Rational investors with subjective beliefs about price behavior optimally learn from past price observations. This imparts momentum and mean reversion into stock prices. The model quantitatively accounts for the volatility of returns, the volatility and persistence of the price‐dividend ratio, and the predictability of long‐horizon returns. It passes a formal statistical test for the overall fit of a set of moments provided one excludes the equity premium.