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

排除無用信息的資産定價

作者：Tim A. Kroencke (University of Basel)

摘要：本文解釋了相較于國民收入與産品賬戶中的消費者支出，基于消費者的資産定價模型在有無用信息時會有更低的相對風險厭惡水平，可能的原因在于NIPA消費模型過濾掉了無用信息，從而緩解了策略誤差。我使用了一個簡單的過濾過程模型，即撤銷掉NIPA消費中的固有過濾方式。“無過濾的NIPA消費模型”很好的解釋了股權溢價以及橫截面股票回報的定價。我讨論了一些可能的真實消費特征（例如在沒有測量誤差和過濾的情況下）和量化對于習慣以及長期風險模型的影響。

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.

原文鍊接：http:// http://onlinelibrary.wiley.com/doi/10.1111/jofi.12438/

翻譯：秦秀婷