Asset Return Dynamics under Habits and Bad Environment–Good Environment Fundamentals
在消费资本资产定价模型中引入坏环境-好环境消费增长技术，结合外部习惯形成，生成消费增长的非高斯特征，并拟合权益收益的均值、波动率及低无风险利率，同时解释权益指数期权价格及其与宏观经济前景的联动。
We introduce a "bad environment-good environment" (BEGE) technology for consumption growth in a consumption-based asset pricing model with external habit formation. The model generates realistic non-Gaussian features of consumption growth and fits standard salient features of asset prices including the means and volatilities of equity returns and a low risk-free rate. BEGE dynamics additionally allow the model to generate realistic properties of equity index options prices and their comovements with the macroeconomic outlook. In particular, when option-implied volatility is high--as measured, for instance, by the VIX index--the distribution of consumption growth is more negatively skewed.