Asset Pricing with Endogenous Disasters
构建了一个简洁模型，说明劳动市场摩擦能将微小的生产率下降放大为就业暴跌，从而内生引发灾难，并成功解释了美国股市的高波动性和股权溢价。
We develop a parsimonious model in which frictions in the labor market may turn small, continuous labor productivity declines into large drops in employment, endogenously causing disasters. Assuming one state variable and CRRA agents, we solve for prices in closed form, calibrate the model using labor market data, and show that this simple setting captures the high, countercyclical volatility and equity premium observed in the United States. Moreover, returns in our model are conditionally predicted by dividend yields. Finally, as in the data, in our setting the disasters are larger when the capital's share of income is higher.