The Lucas Orchard
研究了多资产禀赋经济中资产价格的行为，模型内生产生时变收益相关性，在灾难时期飙升，从而即使现金流稳定的资产也有高风险溢价，小资产即使现金流独立也可能获得正风险溢价。
This paper investigates the behavior of asset prices in an endowment economy in which a representative agent with power utility consumes the dividends of multiple assets. The assets are Lucas trees; a collection of Lucas trees is a Lucas orchard. The model generates return correlations that vary endogenously, spiking at times of disaster. Since disasters spread across assets, the model generates large risk premia even for assets with stable cashflows. Very small assets may comove endogenously and hence earn positive risk premia even if their cashflows are independent of the rest of the economy. I provide conditions under which the variation in a small asset's price-dividend ratio can be attributed almost entirely to variation in its risk premium.