Learning about the consumption risk exposure of firms

• 成果类型: Article
• 署名作者: Kim, Yongjin; Kuehn, Lars-Alexander; Lic, Kai
• 署名单位: University of New Mexico; Carnegie Mellon University; Peking University; Peking University Shenzhen Graduate School (PKU Shenzhen)
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2023.103759
• 发表日期: 2024
• 关键词: Parameter uncertainty; Bayesian learning; Systematic consumption risk; Investment-based asset pricing; SMM

摘要

We structurally estimate an investment-based asset pricing model, in which firms' exposure to macroeconomic risk is unknown. Bayesian beliefs about this parameter are updated from firms' and industry peers' comovement between their productivity and consumption growth. The model implies that discount rates rise endogenously with the perceived risk exposure of firms, thereby depressing investment and valuation ratios. We test these predictions in the data and find strong support for them. We also confirm that cross-sectional learning from peers is crucial and that alternative Bayesian risk estimates, which ignore peer observations, do not predict firm variables.