Asset Pricing with Fading Memory
基于个人经历影响宏观经济预期的证据，研究代表性代理人以衰退记忆学习禀赋增长时的资产价格，模型产生高且强逆周期的客观股权溢价，而主观溢价几乎恒定。
Abstract Building on evidence that lifetime experiences shape individuals’ macroeconomic expectations, we study asset prices in an economy in which a representative agent learns with fading memory about unconditional mean endowment growth. With IID fundamentals, constant risk aversion, and memory decay calibrated to microdata, the model generates a high and strongly countercyclical objective equity premium, while the subjective equity premium is virtually constant. Consistent with this theory, experienced payout growth (a weighted average of past growth rates) is negatively related to future stock market excess returns and subjective expectations errors in surveys, and positively to analysts’ forecasts of long-run earnings growth.