Rational Asset Prices
发现美国股市平均股权溢价近7%且难以用传统模型解释，提出收入冲击不可保险且集中于衰退期、以及生命周期借贷约束将风险转嫁给中年储蓄者，有助于解释这一溢价谜题。
ABSTRACT The mean, covariability, and predictability of the return of different classes of financial assets challenge the rational economic model for an explanation. The unconditional mean aggregate equity premium is almost seven percent per year and remains high after adjusting downwards the sample mean premium by introducing prior beliefs about the stationarity of the price–dividend ratio and the (non)forecastability of the long‐term dividend growth and price—dividend ratio. Recognition that idiosyncratic income shocks are uninsurable and concentrated in recessions contributes toward an explanation. Also borrowing constraints over the investors' life cycle that shift the stock market risk to the saving middle‐aged consumers contribute toward an explanation.