Learning about the consumption risk exposure of firms
构建了一个基于投资的结构性资产定价模型，其中企业面临未知的宏观经济风险暴露，通过贝叶斯信念更新来估计该参数，并发现模型预测与数据高度吻合，且同行的横截面学习至关重要。
We structurally estimate an investment-based asset pricing model, in which firms' exposure to macroeconomic risk is unknown. Bayesian beliefs about this parameter are updated from firms' and industry peers' comovement between their productivity and consumption growth. The model implies that discount rates rise endogenously with the perceived risk exposure of firms, thereby depressing investment and valuation ratios. We test these predictions in the data and find strong support for them. We also confirm that cross-sectional learning from peers is crucial and that alternative Bayesian risk estimates, which ignore peer observations, do not predict firm variables.