Asset Pricing with Persistence Risk
研究理性投资者学习商业周期长度时产生的内生持续性风险，发现该风险在衰退期为正、扩张期为负，导致预期收益和波动率上升，并能预测未来超额收益，尤其在3至7年期限和周期峰谷附近预测力最强。
Persistence risk is an endogenous source of risk that arises when a rational agent learns about the length of business cycles. Persistence risk is positive during recessions and negative during expansions. This asymmetry, which solely results from learning about persistence, causes expected returns, return volatility, and the price of risk to rise during recessions. Persistence risk predicts future excess returns, particularly at 3- to 7-year horizons. Its predictability is strongest around business-cycle peaks and troughs. We confirm the model’s predictions in the data and provide evidence that persistence risk is priced in financial markets.Received October 13, 2017; editorial decision September 19, 2018 by Editor Stijn Van Nieuwerburgh. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.