Predicting Stock Returns in an Efficient Market
构建了一个跨期一般均衡模型，将金融资产收益与总产出变动联系起来，并利用总产出的可预测性来预测股票收益，实证结果支持该模型。
ABSTRACT An intertemporal general equilibrium model relates financial asset returns to movements in aggregate output. The model is a standard neoclassical growth model with serial correlation in aggregate output. Changes in aggregate output lead to attempts by agents to smooth consumption, which affects the required rate of return on financial assets. Since aggregate output is serially correlated and hence predictable, the theory suggests that stock returns can be predicted based on rational forecasts of output. The empirical results confirm that stock returns are a predictable function of aggregate output and also support the accompanying implications of the model.