Asset Pricing with Fading Memory

• 成果类型: Article
• 署名作者: Nagel, Stefan; Xu, Zhengyang
• 署名单位: National Bureau of Economic Research; University of Chicago; Center for Economic & Policy Research (CEPR); City University of Hong Kong
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhab086
• 发表日期: 2022
• 页码: 2190
• 关键词: RUN RISKS MODEL; long-run; STOCK VALUATION; cross-section; expectations; returns; consumption; prices; Dividends; inflation

摘要

Building on evidence that lifetime experiences shape individuals' macroeconomic expectations, we study asset prices in an economy in which a representative agent learns with fading memory about unconditional mean endowment growth. With IID fundamentals, constant risk aversion, and memory decay calibrated to microdata, the model generates a high and strongly countercyclical objective equity premium, while the subjective equity premium is virtually constant. Consistent with this theory, experienced payout growth (a weighted average of past growth rates) is negatively related to future stock market excess returns and subjective expectations errors in surveys, and positively to analysts' forecasts of long-run earnings growth.