Investor Information, Long-Run Risk, and the Term Structure of Equity
研究了信息在长期现金流风险资产定价模型中的作用，发现完全信息模型无法同时产生大的股权风险溢价和向下倾斜的权益期限结构，而基于稀疏性的有限理性模型可以做到。
We study the role of information in asset-pricing models with long-run cash flow risk. When investors can distinguish short- from long-run consumption risks (full information), the model generates a sizable equity risk premium only if the equity term structure slopes up, contrary to the data. In general, the short- and long-run components are unidentified. We propose a sparsity-based bounded rationality model of long-run risk that is both parsimonious and fully identified from historical data. In contrast to full information, the model generates a sizable market risk premium simultaneously with a downward-sloping equity term structure, as in the data.