Review of Financial Studies · VOL30. NO. 8 · August 2017

扭结在哪里? 消费增长的“失望事件”和均衡资产价格

作者：Stefanos Delikouras（University of Miami）

摘要：本文提出了一种带有失望厌恶的基于消费的资产定价模型，旨在研究趋于下降的消费风险与资产市场预期收益的关系。研究发现，“失望模型”可以解释规模/账面市值比投资组合95%的横断面变动，以及股票、债券和商品期货联合样本中80%以上的变动。本文还发现无论样本频率(年度、季度)如何，“失望模型”都可以和Fama - French三因子相媲美。总体而言，研究结果表明，失望厌恶极大地改善了基于消费的资产定价模型的适用性。

Where’s the Kink? Disappointment Events in Consumption Growth and Equilibrium Asset Prices

Stefanos Delikouras（University of Miami）

ABSTRACT

I propose a consumption-based asset pricing model with disappointment aversion to investigate the link between downside consumption risk and expected returns across asset markets. I find that the disappointment model can explain 95% of the cross-sectional variation in size/book-to-market portfolios and more than 80% of the variation in the joint sample of stocks, bonds, and commodity futures. I also show that the performance of the disappointment model is comparable to that of the Fama-French three-factor specification, regardless of the sample frequency (annual, quarterly). Overall, my results indicate that disappointment aversion considerably improves the fit of consumption-based asset pricing models.

原文链接：https://academic.oup.com/rfs/article-abstract/30/8/2851/2996208?redirectedFrom=fulltext

翻译：黄涛