Short- and Long-Run Business Conditions and Expected Returns
研究发现短期预期经济增长与未来市场收益负相关，而长期预期经济增长则正相关，揭示了风险溢价存在高低频波动，对宏观资产定价模型有重要启示。
Numerous studies argue that the market risk premium is associated with expected economic conditions and show that proxies for expected business conditions indeed predict aggregate market returns. By directly estimating short- and long-run expected economic growth, we show that short-run expected economic growth is negatively related to future returns, whereas long-run expected economic growth is positively related to aggregate market returns. In addition, our findings indicate that the risk premium has both high- and low-frequency fluctuations and highlight the importance of distinguishing short- and long-run economic growth in macro-asset pricing models. This paper was accepted by Neng Wang, finance.