Coskewness Risk Decomposition, Covariation Risk, and Intertemporal Asset Pricing
构建了一个跨期资产定价模型，将现金流新闻、贴现率新闻及其二阶矩纳入定价，解释了美国样本中按规模、账面市值比等分类的投资组合68%的收益变化，并强调协变风险对理解股权风险溢价的重要性。
We develop an intertemporal asset pricing model where cash-flow news, discount-rate news, and their second moments are priced by the market. This model generalizes the market-return decomposition framework, showing that intertemporal considerations imply a decomposition of squared market returns (coskewness risk). Our model accounts for 68% of the return variation across portfolios sorted by size, book-to-market ratio, momentum, investment, and profitability for a modern U.S. sample period. Further, our findings highlight the importance of covariation risk, that is, the risk of simultaneous unfavorable shocks to cash flows and discount rates, in understanding equity risk premia.