Rare Booms and Disasters in a Multisector Endowment Economy

• 成果类型: Article
• 署名作者: Tsai, Jerry; Wachter, Jessica A.
• 署名单位: University of Oxford; University of Pennsylvania; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhv074
• 发表日期: 2016
• 页码: 1113
• 关键词: EQUITY RISK PREMIUM; ASSET PRICING MODEL; cross-section; long-run; consumption; INVESTMENT; skewness; returns; explain; MARKETS

摘要

Why do value stocks have higher average returns than growth stocks, despite having lower risk? Why do these stocks exhibit positive abnormal performance, while growth stocks exhibit negative abnormal performance? This paper offers a rare-event-based explanation that can also account for the high equity premium and volatility of the aggregate market. The model explains other puzzling aspects of the data, such as joint patterns in time-series predictablity of aggregate market and value and growth returns, long periods in which growth outperforms value, and the association between positive skewness and low realized returns.