Incomplete Markets and Security Prices: Do Asset‐Pricing Puzzles Result from Aggregation Problems?
使用家庭层面消费数据检验欧拉方程，发现即使在不完全市场下，消费资本资产定价模型仍被数据拒绝，表明一些资产定价谜题并非源于加总问题。
This paper investigates Euler equations involving security prices and household‐level consumption data. It provides a useful complement to many existing studies of consumption‐based asset pricing models that use a representative‐agent framework, because the Euler equations under investigation hold even if markets are incomplete. It also provides a useful complement to simulation‐based studies of market incompleteness. The empirical evidence indicates that the theory is rejected by the data along several dimensions. The results therefore indicate that some well‐documented asset‐pricing puzzles do not result from aggregation problems for the preferences under investigation.