Explaining the Poor Performance of Consumption‐based Asset Pricing Models
用Campbell和Cochrane（1999）的外部习惯形成模型，说明为何资本资产定价模型（CAPM）及其扩展比标准消费型模型更接近实际资产定价。模型产生随时间变化的预期收益，由股息价格比追踪，投资组合模型能捕捉状态变量变化，而消费模型不能。
We show that the external habit‐formation model economy of Campbell and Cochrane (1999) can explain why the Capital Asset Pricing Model (CAPM) and its extensions are betterapproximate asset pricing models than is the standard onsumption‐based model. The model economy produces time‐varying expected eturns, tracked by the dividend–price ratio. Portfolio‐based models capture some of this variation in state variables, which a state‐independent function of consumption cannot capture. Therefore, though the consumption‐based model and CAPM are both perfect conditional asset pricing models, the portfolio‐based models are better approximate unconditional asset pricing models.