A New Test of Risk Factor Relevance
开发了一个调查框架，用于检验投资者是否如教科书模型假设的那样，在投资时关注特定风险因子（如消费增长）带来的坏状态。通过对消费增长的应用，发现投资者对股票收益的均值和波动有反应，但未发现他们视资产与消费增长的相关性为投资决策相关。
ABSTRACT Textbook models assume that investors try to insure against bad states of the world associated with specific risk factors when investing. This is a testable assumption and we develop a survey framework for doing so. Our framework can be applied to any risk factor. We demonstrate the approach using consumption growth, which makes our results applicable to most modern asset‐pricing models. Participants respond to changes in the mean and volatility of stock returns consistent with textbook models, but we find no evidence that they view an asset's correlation with consumption growth as relevant to investment decisions.