A New Test of Risk Factor Relevance

• 成果类型: Article
• 署名作者: Chinco, Alex; Hartzmark, Samuel M.; Sussman, Abigail B.
• 署名单位: City University of New York (CUNY) System; Baruch College (CUNY); University of Chicago; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13135
• 发表日期: 2022
• 页码: 2183-2238
• 关键词: correlation neglect; rare disasters; cross-section; asset prices; long-run; expectations; questions; returns; INFORMATION; consumption

摘要

Textbook models assume that investors try to insure against bad states of the world associated with specific risk factors when investing. This is a testable assumption and we develop a survey framework for doing so. Our framework can be applied to any risk factor. We demonstrate the approach using consumption growth, which makes our results applicable to most modern asset-pricing models. Participants respond to changes in the mean and volatility of stock returns consistent with textbook models, but we find no evidence that they view an asset's correlation with consumption growth as relevant to investment decisions.