Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?
提出消费灾难概率随时间变化，解释了股权溢价高、股市波动大和超额收益可预测的现象。
ABSTRACT Why is the equity premium so high, and why are stocks so volatile? Why are stock returns in excess of government bill rates predictable? This paper proposes an answer to these questions based on a time‐varying probability of a consumption disaster. In the model, aggregate consumption follows a normal distribution with low volatility most of the time, but with some probability of a consumption realization far out in the left tail. The possibility of this poor outcome substantially increases the equity premium, while time‐variation in the probability of this outcome drives high stock market volatility and excess return predictability.