The CAPM strikes back? An equilibrium model with disasters

• 成果类型: Article
• 署名作者: Bai, Hang; Hou, Kewei; Kung, Howard; Li, Erica X. N.; Zhang, Lu
• 署名单位: University of Connecticut; University System of Ohio; Ohio State University; University of London; London Business School; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2018.08.009
• 发表日期: 2019
• 页码: 269-298
• 关键词: CAPM; rare disasters; measurement errors; Consumption CAPM; general equilibrium

摘要

Embedding disasters into a general equilibrium model with heterogeneous firms induces strong nonlinearity in the pricing kernel, helping explain the empirical failure of the (consumption) CAPM. Our single-factor model reproduces the failure of the CAPM in explaining the value premium in finite samples without disasters and its relative success in samples with disasters. Due to beta measurement errors, the estimated beta-return relation is flat, consistent with the beta anomaly,even though the true beta-return relation is strongly positive. Finally, the consumption CAPM fails in simulations, even though a non-linear model with the true pricing kernel holds exactly by construction. Published by Elsevier B.V.