Journal of Financial Economics; January 2019 In Press

寻找偏好冲击风险：来自长寿风险和动量利润的证据

作者：Zhanhui Chen (Nanyang Technological University)

Bowen Yang (Nanyang Technological University)

摘要：时间偏好冲击影响代理人对不同期限资产的偏好。我们将长寿风险视为时间偏好冲击的来源，并在递归偏好设置中对其进行建模。这暗含了一个基于消费的三因素模型，包括长寿风险，消费增长率和市场投资组合，其中长寿的风险价格是负的。根据经验，该模型解释了许多众所周知的横截面投资组合。值得注意的是，我们发现长寿风险和动量因素共享一个共同的商业周期组成部分，即短期消费风险。之前的赢家（输家）提供对死亡（长寿）风险的对冲，因此具有更高（更低）的预期回报，因为相对于输家，赢家的股息增长更快，股权持续时间更短。随着时间的推移，随时间变化的长寿风险捕获了大部分动量利润，包括数据中观察到的大的动量崩溃。

In search of preference shock risks: Evidence from longevity risks and momentum profits

Zhanhui Chen (Nanyang Technological University); Bowen Yang (Nanyang Technological University)

ABSTRACT

Time-preference shocks affect agents’ preferences for assets with different durations. We consider longevity risk as a source of time-preference shocks and model it in the recursive preferences setting. This implies a consumption-based three-factor model, including longevity risk, consumption growth rate, and the market portfolio, where longevity has a negative price of risk. Empirically, this model explains many well-known cross-sectional portfolios. Notably, we find that longevity risk and the momentum factor share a common business cycle component, i.e., short-run consumption risks. Prior winners (losers) provide hedging against mortality (longevity) risk and thus have higher (lower) expected returns, because winners have higher dividend growth and shorter equity durations than losers. Time-varying longevity risk captures most momentum profits over time, including the large momentum crashes observed in the data.

原文链接：https://www.sciencedirect.com/science/article/pii/S0304405X19300042#!

翻译：黄涛