Can Rare Events Explain the Equity Premium Puzzle?
检验罕见事件假说能否解释股权溢价之谜，发现即使调整经济状态概率，消费CAPM仍被拒绝；历史灾难规模太小，除非灾难每6-10年发生一次；若数据由罕见事件分布生成，谜题本身反而不可能出现；罕见事件假说还降低了消费风险的横截面分散性，削弱了模型解释力。
Probably not. First, allowing the probabilities of the states of the economy to differ from their sample frequencies, the consumption-CAPM is still rejected in both U.S. and international data. Second, the recorded world disasters are too small to rationalize the puzzle, unless one assumes that disasters occur every 6--10 years. Third, if the data were generated by the rare events distribution needed to rationalize the equity premium puzzle, the puzzle itself would be unlikely to arise. Fourth, the rare events hypothesis, by reducing the cross-sectional dispersion of consumption risk, worsens the ability of the consumption-CAPM to explain the cross-section of returns. The Author 2012. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oup.com., Oxford University Press.