Dissecting the Equity Premium

• 成果类型: Article
• 署名作者: Beason, Tyler; Schreindorfer, David
• 署名单位: Virginia Polytechnic Institute & State University; Arizona State University; Arizona State University-Tempe
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/720396
• 发表日期: 2022
• 页码: 2203-2222
• 关键词: rare disasters; risk-aversion; asset; DYNAMICS; prices

摘要

We use option prices and realized returns to decompose risk premia into different parts of the return state space. In the data, 8/10 of the average equity premium is attributable to monthly returns below -10%, but returns below -30% matter very little. In contrast, prominent asset pricing models based on habits, long-run risks, rare disasters, undiversifiable idiosyncratic risk, and constrained intermediaries attribute the premium predominantly to returns above -10% or to the extreme left tail. We show that the discrepancy arises from an unrealistically small price of risk for stock market tail events in the models.