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

當“這一次不同”的資産定價

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：最近的證據表明，年輕人比老年人更多地更新對總體沖擊反應的信念。我們将這個代際學習偏差嵌入到一個均衡模型中，在這個模型中，代理人有遞歸偏好并且對外生總體動态不确定。雖然與理性預期的偏離在統計上是微不足道的，但卻能産生代際頻率上的高平均風險溢價，産生了曆史收益和代理人的未來收益預測之間的正相關關系，并且産生了實質的和持續的高估和低估。與模型一緻，當年輕人在人口中所占比例較高時，價格股利比率在實證上對宏觀經濟沖擊更為敏感。

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.

原文鍊接：

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

翻譯：何杉