Business Cycles, Regime Shifts, and Return Predictability
构建了一个消费和股息增长服从体制转换动态的模型，证明体制转换风险被定价，对资产价格有主导影响，能解释经济周期相关的资产市场现象，尤其是衰退期股票收益更强的可预测性。
Abstract Consistent with the empirical properties of the consumption data, I develop a model in which consumption and dividend growth follow regime-switching dynamics. I show that regime-shift risk is priced in the model. Regime-shift risk exhibits dominant influence on asset prices: It generates a high equity premium and also induces time-varying risk premiums. The model explains major business cycle-dependent asset market phenomena and, in particular, the stronger predictability of stock returns during recessions.