Consumption in Asset Returns
利用资产回报信息识别消费的随机过程，发现消费对金融创新的反应持续多个季度，这一持久成分解释了超过四分之一的消费波动，并驱动股票和债券的时序变化，但消费的随机波动不驱动时变风险溢价。
ABSTRACT Using information in returns, we identify the stochastic process of consumption. We find that aggregate consumption reacts over multiple quarters to innovations spanned by financial markets. This persistent component accounts for over a quarter of consumption variation. These shocks command a large and significant risk premium, driving a large share of stocks' and a small yet significant fraction of bonds' time‐series variation. Nevertheless, we find no support for stochastic volatility of consumption driving time‐varying risk premia. Finally, an otherwise standard recursive utility model based on our estimated process explains equity premium and risk‐free rate puzzles with low‐risk aversion.