Limited Stock Market Participation and Asset Prices in a Dynamic Economy
构建一个基于消费的模型，通过借贷约束和有限股市参与两个渠道解释股权溢价之谜，并复制了无风险利率、股票波动率、回报可预测性等数据特征。
Abstract This paper presents a consumption-based model that explains the equity premium puzzle through two channels. First, because of borrowing constraints, the shareholder cannot completely diversify his income risk and requires a sizable risk premium on stocks. Second, because of limited stock market participation, the precautionary saving demand lowers the risk-free rate but not stock return and generates a substantial liquidity premium. This model also replicates many other salient features of the data, including the first two moments of the risk-free rate, excess stock volatility, stock return predictability, and the unstable relation between stock volatility and the dividend yield.