Asset Pricing Tests with Long-run Risks in Consumption Growth
提出一种基于可观测变量估计长期风险模型的新方法，发现模型在解释回报率横截面、无风险利率和股权溢价时与数据存在显著差异。
We present a novel methodology for estimating/testing the Bansal and Yaron (2004) and related long-run risks (LRR) models based on the observation that the latent state variables are known functions of observables. The large standard error of the estimated elasticity of intertemporal substitution explains the controversy on its magnitude. The model requires higher persistence of consumption and dividend growth to explain the cross-section of returns than that observed in the data. The model matches the unconditional moments of consumption and dividend growth, but implies a higher risk-free rate and lower volatility of the price/dividend ratio, risk-free rate, and market return than those observed in the data. Contrary to the model implications, the conditional variance of the LRR variable fails to capture the large time variation in the equity premium.