REVIEW OF FINANCIAL STUDIES·(2016)doi:10.1093/rfs/hhw084·First published online: October 2, 2016

当“这一次不同”的资产定价

作者：Pierre Collin-Dufresne (Swiss Finance Institute at Ecole Polytechnique Federale de Lausanne), Michael Johannes (Columbia Business School), Lars A. Lochstoer (UCLA, Anderson School of Management)

摘要：最近的证据表明，年轻人比老年人更多地更新对总体冲击反应的信念。我们将这个代际学习偏差嵌入到一个均衡模型中，在这个模型中，代理人有递归偏好并且对外生总体动态不确定。虽然与理性预期的偏离在统计上是微不足道的，但却能产生代际频率上的高平均风险溢价，产生了历史收益和代理人的未来收益预测之间的正相关关系，并且产生了实质的和持续的高估和低估。与模型一致，当年轻人在人口中所占比例较高时，价格股利比率在实证上对宏观经济冲击更为敏感。

Asset Pricing When ‘This Time Is Different’

Pierre Collin-Dufresne (Swiss Finance Institute at Ecole Polytechnique Federale de Lausanne), Michael Johannes (Columbia Business School), Lars A. Lochstoer (UCLA, Anderson School of Management)

ABSTRACT

Recent evidence suggests that younger people update beliefs in response to aggregate shocks more than older people. We embed this generational learning bias in an equilibrium model in which agents have recursive preferences and are uncertain about exogenous aggregate dynamics. The departure from rational expectations is statistically modest, but generates high average risk premiums varying at generational frequencies, a positive relation between past returns and agents’ future return forecasts, and substantial and persistent over- and undervaluation. Consistent with the model, the price-dividend ratio is empirically more sensitive to macroeconomic shocks when the fraction of young in the population is higher.

原文链接：

http://rfs.oxfordjournals.org/content/early/2016/10/01/rfs.hhw084.abstract?sid=89b14d19-ff36-453b-a33b-4f1fd6170cc7

翻译：何杉