Asset Pricing with Concentrated Ownership of Capital and Distribution Shocks
构建了一个包含两类代理人和资本集中所有权的生产型资产定价模型，通过暂时但持续的分配冲击使资本所有者收入份额顺周期波动，显著放大了股权风险溢价，与代表性代理人模型相比更符合美国数据。
This paper develops a production-based asset pricing model with two types of agents and concentrated ownership of physical capital. A temporary but persistent “distribution shock” causes the income share of capital owners to fluctuate in a procyclical manner, consistent with US data. The concentrated ownership model significantly magnifies the equity risk premium relative to a representative-agent model because the capital owners' consumption is more-strongly linked to volatile dividends from equity. With a steady-state risk aversion coefficient around 4, the model delivers an unlevered equity premium of 3.9 percent relative to short-term bonds and a premium of 1.2 percent relative to long-term bonds.