Asset Pricing with Persistence Risk

• 成果类型: Article
• 署名作者: Andrei, Daniel; Hasler, Michael; Jeanneret, Alexandre
• 署名单位: McGill University; University of Toronto; Universite de Montreal; HEC Montreal
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhy121
• 发表日期: 2019
• 页码: 2809
• 关键词: long-run risk; Expected stock returns; PREDICTIVE REGRESSIONS; dividend yields; term structure; consumption; uncertainty; time; MODEL

摘要

Persistence risk is an endogenous source of risk that arises when a rational agent learns about the length of business cycles. Persistence risk is positive during recessions and negative during expansions. This asymmetry, which solely results from learning about persistence, causes expected returns, return volatility, and the price of risk to rise during recessions. Persistence risk predicts future excess returns, particularly at 3- to 7-year horizons. Its predictability is strongest around business-cycle peaks and troughs. We confirm the model's predictions in the data and provide evidence that persistence risk is priced in financial markets.