The Journal of Finance, Volume 71, Issue6, December 2016, Pages 2861-2904

估值風險與資産定價

作者：Rui Albuquerque (Boston College; CEPR; ECGI), Martin Eichenbaum (Northwestern University; NBER; the Federal Reserve Bank of Chicago), Victor Xi Luo (Northwestern University), Ser Gio Rebelo (Northwestern University; NBER; CEPR)

摘要：标準的代理模型無法解釋股票收益與基本面之間的弱相關性，例如消費與産出增長之間的關系。這種失敗的出現導緻幾乎所有現代資産定價模型出現問題，因為這些模型都是将所有的不确定性賦予經濟的供給端。我們提出了一個簡單的資産定價理論，其中需求沖擊發揮核心作用。這些沖擊引起的估值風險允許模型解釋關鍵的資産定價時刻，如股權溢價，債券期限溢價以及股票收益率和基本面之間的弱相關性。

Valuation Risk and Asset Pricing

Rui Albuquerque (Boston College; CEPR; ECGI), Martin Eichenbaum (Northwestern University; NBER; the Federal Reserve Bank of Chicago), Victor Xi Luo (Northwestern University), Ser Gio Rebelo (Northwestern University; NBER; CEPR)

ABSTRACT

Standard representative-agent models fail to account for the weak correlation between stock returns and measurable fundamentals, such as consumption and output growth. This failing, which underlies virtually all modern asset pricing puzzles, arises because these models load all uncertainty onto the supply side of the economy. We propose a simple theory of asset pricing in which demand shocks play a central role. These shocks give rise to valuation risk that allows the model account for key asset pricing moments, such as the equity premium, the bond term premium, and the weak correlation between stock returns and fundamentals.

原文鍊接：http://onlinelibrary.wiley.com/doi/10.1111/jofi.12437/full

翻譯：秦秀婷