A Consumption‐Based Explanation of Expected Stock Returns
提出当非耐用品与耐用品消费不可分离且替代弹性足够高时，耐用品消费下降会导致边际效用上升，从而解释股票预期收益的横截面差异和股权溢价的时间变化。
ABSTRACT When utility is nonseparable in nondurable and durable consumption and the elasticity of substitution between the two consumption goods is sufficiently high, marginal utility rises when durable consumption falls. The model explains both the cross‐sectional variation in expected stock returns and the time variation in the equity premium. Small stocks and value stocks deliver relatively low returns during recessions, when durable consumption falls, which explains their high average returns relative to big stocks and growth stocks. Stock returns are unexpectedly low at business cycle troughs, when durable consumption falls sharply, which explains the countercyclical variation in the equity premium.