Micro uncertainty and asset prices

• 成果类型: Article
• 署名作者: Herskovic, Bernard; Kind, Thilo; Kung, Howard
• 署名单位: University of California System; University of California Los Angeles; University of London; London Business School; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2023.04.006
• 发表日期: 2023
• 页码: 27-51
• 关键词: Production-based asset pricing; Neoclassical investment; LONG-RUN RISKS; Cross-section of returns; Micro uncertainty; TFP

摘要

Size and value premia comove strongly with one another at low frequencies, but they are both negatively related to long-run movements in the equity premium. We explain these patterns in an investment-based asset pricing model featuring persistent micro and macro uncertainty. Micro uncertainty generates size and value premia waves, while macroeco-nomic uncertainty produces equity premium waves. The negative correlation between mi-cro and macro uncertainty at low frequencies explains why the equity premium is a long-term hedge for size and value premia. Persistent micro uncertainty is also a source of instability for size and value factors in short samples.(c) 2023 Published by Elsevier B.V.