FINANCIAL CRISES AND RISK PREMIA

• 成果类型: Article
• 署名作者: Muir, Tyler
• 署名单位: University of California System; University of California Los Angeles; National Bureau of Economic Research
• 刊物名称: QUARTERLY JOURNAL OF ECONOMICS
• ISSN/ISSBN: 0033-5533
• DOI: 10.1093/qje/qjw045
• 发表日期: 2017
• 页码: 765-809
• 关键词: stock-market; rare disasters; macroeconomic model; equilibrium-model; equity premium; cross-section; long-run; consumption; returns; prices

摘要

I analyze the behavior of risk premia in financial crises, wars, and recessions in an international panel spanning over 140 years and 14 countries. I document that expected returns, or risk premia, increase substantially in financial crises, but not in the other episodes. Asset prices decline in all episodes, but the decline in financial crises is substantially larger than the decline in fundamentals so that expected returns going forward are large. However, drops in consumption and consumption volatility are fairly similar across financial crises and recessions and are largest during wars, so asset pricing models based on aggregate consumption have trouble matching these facts. Comparing crises to deep recessions strengthens these findings further. By disentangling financial crises from other bad macroeconomic times, the results suggest that financial crises are particularly important to understanding why risk premia vary. I discuss implications for theory more broadly and discuss both rational and behavioral models that are consistent with the facts. Theories where asset prices are related to the health of the financial sector appear particularly promising.