Term Structure of Risk in Expected Returns
提出一种基于多期风险收益权衡来检验结构性资产定价模型的方法，通过风险期限结构衡量预期收益对结构性冲击的敏感性，发现只有包含消费增长方差多重冲击的模型才能解释股市的风险传播与补偿。
Abstract This paper develops a methodology to test structural asset pricing models based on their implications for the multiperiod risk-return trade-off. A new measure, the term structure of risk, captures the sensitivities of multiperiod expected returns to structural shocks. The level and slope of the term structure of risk can indicate misspecification in equilibrium models. I evaluate the performance of asset pricing models with long-run risk, consumption disasters, and variance shocks. I find that only a model with multiple shocks in the variance of consumption growth is consistent with the propagation of and compensation for risk in the aggregate stock market.