On the Valuation of Long-Dated Assets
研究发现，长期资产定价主要受极端坏消息可能性驱动，这一结论不依赖于灾难假设，且适用于夏普比率高于波动率的对数正态市场中的长期资产。
I show that the pricing of a broad class of long-dated assets is driven by the possibility of extraordinarily bad news. This result does not depend on any assumptions about the existence of disasters, nor does it apply only to assets that hedge bad outcomes; indeed, it applies even to long-dated claims on the market in a lognormal world if the market's Sharpe ratio is higher than its volatility, as appears to be the case in practice.