Limited Risk Sharing and International Equity Returns
研究了有限股票市场参与如何解释国际资产价格与宏观变量的脱节，发现股东间风险分担高导致股票收益高度相关和汇率平滑，而非股东因不参与市场和借贷约束而风险分担有限。
ABSTRACT Limited stock market participation can potentially explain the disconnect between international asset prices and macro quantities. An incomplete markets model in which risk sharing for stockholders is high generates highly correlated equity returns and relatively smooth exchange rates. Risk sharing for nonstockholders is limited because of their nonparticipation in stock markets and borrowing constraints, reducing the aggregate consumption correlation and the correlation between aggregate consumption differentials and exchange rates. Financial integration widens the disconnect by benefiting stockholders but hurting nonstockholders. Survey data indicate that international risk sharing for stockholders is better than that for nonstockholders, consistent with the predictions.