Journal of Finance, Volume 72,Issue 1,February 2017,Pages 415-460

反周期家庭消费风险的资产定价

作者：George M. Constantinides (University of Chicago), Anisha Ghosh (University of Carnegie-Mellon)

摘要：本文结果显示对家庭消费增长的冲击是负偏态性、持久性、反周期性和资产价格驱动的。我们构建一个简单的模型，其中异质性家庭具有递归偏好。家庭消费的条件截距项的增长是由单一状态变量导致的。估计模型对于家庭消费增长的非条件截距项和无风险利率、股本溢价、价格红利比率、总股息和消费增长的截距均拟合良好。模型隐含的无风险利率和价格红利比率是顺周期的，而市场收益率则具有反周期的均值和方差。最后，家庭消费风险解释了股票在横截面上的超额收益。

Asset Pricing with Countercyclical Household Consumption Risk

George M. Constantinides (University of Chicago), Anisha Ghosh (University of Carnegie-Mellon)

ABSTRACT

We show that shocks to household consumption growth are negatively skewed, persistent, countercyclical, and drive asset prices. We construct a parsimonious model where heterogeneous households have recursive preferences. A single state variable drives the conditional cross-sectional moments of household consumption growth. The estimated model fits well the unconditional cross-sectional moments of household consumption growth and the moments of the risk-free rate, equity premium, price-dividend ratio, and aggregate dividend and consumption growth. The model-implied risk-free rate and price-dividend ratio are procyclical, while the market return has countercyclical mean and variance. Finally, household consumption risk explains the cross section of excess returns.

原文链接：http://onlinelibrary.wiley.com/doi/10.1111/jofi.12471/full

翻译：秦秀婷