INFORMATION AND THE EQUITY PREMIUM

• 成果类型: Article
• 署名作者: Gollier, Christian; Schlee, Edward
• 署名单位: Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; Arizona State University; Arizona State University-Tempe
• 刊物名称: JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
• ISSN/ISSBN: 1542-4766
• DOI: 10.1111/j.1542-4774.2011.01034.x
• 发表日期: 2011
• 页码: 871-902
• 关键词: optimal portfolios; utility analysis; asset prices; bad-news; RISK; return; consumption; ECONOMY; QUALITY; MARKET

摘要

We determine how better information affects the average equity premium in a standard representative-agent exchange economy. Perfect information obviously eliminates the equity premium, and a particular kind of information about the level of future consumption always lowers the average equity premium. Surprisingly, information sometimes raises the average equity premium, no matter what the preferences of the representative agent. Information purely about the volatility either of consumption or the marginal utility of consumption raises the equity premium for a wide class of preferences. Moreover, information can raise the average equity premium by an arbitrarily large percentage (while still matching important magnitudes, such as average growth and the risk-free rate). We consider two different economies: a two-period economy with arbitrary preferences for the representative agent; and an infinite horizon economy, in which we restrict both preferences and the endowment distribution. (JEL: D8, D9, G12)