Asset Pricing with Concentrated Ownership of Capital and Distribution Shocks

• 成果类型: Article
• 署名作者: Lansing, Kevin J.
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - San Francisco
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20110130
• 发表日期: 2015
• 页码: 67-103
• 关键词: UNITED-STATES; long-run; equity premium; RISK; GROWTH; INEQUALITY; rates; earnings; taxation; prices

摘要

This paper develops a production-based asset pricing model with two types of agents and concentrated ownership of physical capital. A temporary but persistent distribution shock causes the income share of capital owners to fluctuate in a procyclical manner, consistent with US data. The concentrated ownership model significantly magnifies the equity risk premium relative to a representative-agent model because the capital owners' consumption is more-strongly linked to volatile dividends from equity. With a steady-state risk aversion coefficient around 4, the model delivers an unlevered equity premium of 3.9 percent relative to short-term bonds and a premium of 1.2 percent relative to long-term bonds.