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

反周期家庭消費風險的資産定價

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

摘要：本文結果顯示對家庭消費增長的沖擊是負偏态性、持久性、反周期性和資産價格驅動的。我們構建一個簡單的模型，其中異質性家庭具有遞歸偏好。家庭消費的條件截距項的增長是由單一狀态變量導緻的。估計模型對于家庭消費增長的非條件截距項和無風險利率、股本溢價、價格紅利比率、總股息和消費增長的截距均拟合良好。模型隐含的無風險利率和價格紅利比率是順周期的，而市場收益率則具有反周期的均值和方差。最後，家庭消費風險解釋了股票在橫截面上的超額收益。

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.

原文鍊接：http://onlinelibrary.wiley.com/doi/10.1111/jofi.12471/full

翻譯：秦秀婷