A Tale of Fear and Euphoria in the Stock Market
提出一个消费基础模型，解释股市波动与风险溢价和价格之间有时正相关有时负相关的现象，区分恐惧波动和狂喜波动的不同影响。
Abstract We propose a consumption-based model to explain puzzling unstable (i.e., sometimes positive and sometimes negative) relations between stock market variance with both stock market risk premia and prices. In the model, market risk premia depend positively (negatively) on fear (euphoria) variance. Market prices, which decrease with discount rates, correlate negatively (positively) with fear (euphoria) variance. Because it is the sum of fear and euphoria variances, the market variance may correlate positively or negatively with expected returns and prices, depending on the relative importance of the two variances. Our empirical results support the model’s key assumptions and many novel implications.