Another Look at the (Ir)Relevance of Long‐Run Risks for Equity Risk Premia
研究了一个包含长期消费增长和方差风险的三因子宏观模型，发现该模型在解释股权风险溢价时被显著拒绝，因子风险价格不显著或经济上不合理，定价误差大，表明长期消费风险无法拯救消费资本资产定价模型。
Abstract I investigate the empirical asset pricing implications of a three‐factor macro model that extends the baseline consumption model Consumption Capital Asset Pricing Model (CCAPM) by adding the innovations in expected long‐run consumption growth (consumption growth news) and expected long‐run consumption variance (variance news) as risk factors. By using a reasonable cross‐section of equity risk premia, such a model is largely rejected (both on statistical and economic grounds), as the factor risk prices are either insignificant and/or economically implausible, whereas the pricing errors are very large. Thus, long‐run consumption risks (LRR) do not rescue the CCAPM, which represents a major challenge for the voluminous LRR literature.