Dissecting the Equity Premium
利用期权价格和实际回报，将风险溢价分解到回报状态空间的不同部分，发现平均股权溢价的十分之八来自月回报低于-10%的情况，而主流模型却将溢价主要归因于其他部分，揭示了模型对尾部事件风险定价的不足。
We use option prices and realized returns to decompose risk premia into different parts of the return state space. In the data, 8/10 of the average equity premium is attributable to monthly returns below -10%, but returns below -30% matter very little. In contrast, prominent asset pricing models based on habits, long-run risks, rare disasters, undiversifiable idiosyncratic risk, and constrained intermediaries attribute the premium predominantly to returns above -10% or to the extreme left tail. We show that the discrepancy arises from an unrealistically small price of risk for stock market tail events in the models.