Do Investment-Based Models Explain Equity Returns? Evidence from Euler Equations
研究了基于投资的资产定价模型对股票收益的解释力，发现满足股票收益欧拉方程的贴现因子无法满足投资回报的欧拉方程，模型无法复制风险溢价水平。
Abstract We investigate the empirical implications of the investment-based model of asset pricing for the Hansen-Jagannathan and Kozak-Nagel-Santosh discount factors in the linear span of equity returns. We find that the stochastic discount factors satisfying the Euler equation for equity returns cannot satisfy the Euler equation for investment returns because returns on corporate investment covary inversely with the sources of equity risk relative to returns on equity. As a result, the model fails to replicate the level of the risk premium. Our results suggest that joint restrictions on the optimality of investment and consumption pose stringent conditions for candidate production models.