Asset Pricing When 'This Time Is Different'

• 成果类型: Article
• 署名作者: Collin-Dufresne, Pierre; Johannes, Michael; Lochstoer, Lars A.
• 署名单位: Swiss Finance Institute (SFI); Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Columbia University; University of California System; University of California Los Angeles
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhw084
• 发表日期: 2017
• 页码: 505
• 关键词: stock-market; Expected returns; general equilibrium; rare disasters; risk-aversion; experience; BEHAVIOR; Heterogeneity; expectations; consumption

摘要

Recent evidence suggests that younger people update beliefs in response to aggregate shocks more than older people. We embed this generational learning bias in an equilibrium model in which agents have recursive preferences and are uncertain about exogenous aggregate dynamics. The departure from rational expectations is statistically modest, but generates high average risk premiums varying at generational frequencies, a positive relation between past returns and agents' future return forecasts, and substantial and persistent over-and undervaluation. Consistent with the model, the price-dividend ratio is empirically more sensitive to macroeconomic shocks when the fraction of young in the population is higher.