Journal of Finance, Volume 72,Issue 1,February 2017,Pages 47-98

排除无用信息的资产定价

作者：Tim A. Kroencke (University of Basel)

摘要：本文解释了相较于国民收入与产品账户中的消费者支出，基于消费者的资产定价模型在有无用信息时会有更低的相对风险厌恶水平，可能的原因在于NIPA消费模型过滤掉了无用信息，从而缓解了策略误差。我使用了一个简单的过滤过程模型，即撤销掉NIPA消费中的固有过滤方式。“无过滤的NIPA消费模型”很好的解释了股权溢价以及横截面股票回报的定价。我讨论了一些可能的真实消费特征（例如在没有测量误差和过滤的情况下）和量化对于习惯以及长期风险模型的影响。

Asset Pricing without Garbage

Tim A. Kroencke(University of Basel)

ABSTRACT

This paper provides an explanation for why garbage implies a much lower relative risk aversion in the consumption-based asset pricing model than National Income and Product Accounts (NIPA) consumption expenditure: Unlike garbage, NIPA consumption is filtered to mitigate measurement error. I apply a simple model of the filtering process that allows one to undo the filtering inherent in NIPA consumption. "Unfiltered NIPA consumption" well explains the equity premium and is priced in the cross-section of stock returns. I discuss the likely properties of true consumption(i.e., without measurement error and filtering) and quantify implications for habit and long-run risk models.

原文链接：http:// http://onlinelibrary.wiley.com/doi/10.1111/jofi.12438/

翻译：秦秀婷