Consumption with earnings, liquidity, and market based models
该研究将市场、收入和流动性增长结合作为财富增长的代理变量，构建递归消费模型，在低风险厌恶系数下匹配历史无风险利率、高股权溢价和合理的跨期替代弹性，并通过118年数据验证其优于仅用市场的模型。
Abstract The market, earnings, and liquidity growth combine to form a proxy for wealth growth, allowing a recursive consumption model with a low risk aversion coefficient, a risk-free rate close to historical, a high equity premium, and a reasonable elasticity of intertemporal substitution. The empirical consumption model does well against major asset pricing puzzles. Tested over 118 years it is not rejected while a forward-looking consumption model using the market alone as a wealth proxy fails. Changing liquidity and earnings forecast consumption and their ‘crashes’ precede consumption declines. We also demonstrate related stock level factors have similar economic magnitude and are significant. These models are consistent to the financial intermediary economic growth literature. Such consistency across approaches adds credence to common earnings and liquidity factors as important risks to investors.