Asset Pricing Without Garbage
发现，用未经滤波的NIPA消费数据能解释权益溢价，而垃圾数据比NIPA消费数据更准确，因为NIPA消费数据经过滤波处理掩盖了测量误差。
ABSTRACT This paper provides an explanation for why garbage implies a much lower relative risk aversion in the consumption‐based asset pricing model than National Income and Product Accounts (NIPA) consumption expenditure: Unlike garbage, NIPA consumption is filtered to mitigate measurement error. I apply a simple model of the filtering process that allows one to undo the filtering inherent in NIPA consumption. “Unfiltered NIPA consumption” well explains the equity premium and is priced in the cross‐section of stock returns. I discuss the likely properties of true consumption (i.e., without measurement error and filtering) and quantify implications for habit and long‐run risk models.