Investor Information, Long-Run Risk, and the Term Structure of Equity

• 成果类型: Article
• 署名作者: Croce, Mariano M.; Lettau, Martin; Ludvigson, Sydney C.
• 署名单位: University of North Carolina; University of North Carolina Chapel Hill; University of California System; University of California Berkeley; National Bureau of Economic Research; Centre for Economic Policy Research - UK; New York University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhu084
• 发表日期: 2015
• 页码: 706
• 关键词: CONSUMPTION RISK; cross-section; asset; duration; QUALITY

摘要

We study the role of information in asset-pricing models with long-run cash flow risk. When investors can distinguish short- from long-run consumption risks (full information), the model generates a sizable equity risk premium only if the equity term structure slopes up, contrary to the data. In general, the short- and long-run components are unidentified. We propose a sparsity-based bounded rationality model of long-run risk that is both parsimonious and fully identified from historical data. In contrast to full information, the model generates a sizable market risk premium simultaneously with a downward-sloping equity term structure, as in the data.