Valuation Risk and Asset Pricing

• 成果类型: Article
• 署名作者: Albuquerque, Rui; Eichenbaum, Martin; Luo, Victor Xi; Rebelo, Sergio
• 署名单位: Boston College; Center for Economic & Policy Research (CEPR); Northwestern University; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Chicago
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12437
• 发表日期: 2016
• 页码: 2861-2904
• 关键词: long-run; temporal behavior; equity premium; rare disasters; term structure; consumption; MODEL; STOCK; prices; returns

摘要

Standard representative-agent models fail to account for the weak correlation between stock returns and measurable fundamentals, such as consumption and output growth. This failing, which underlies virtually all modern asset pricing puzzles, arises because these models load all uncertainty onto the supply side of the economy. We propose a simple theory of asset pricing in which demand shocks play a central role. These shocks give rise to valuation risk that allows the model to account for key asset pricing moments, such as the equity premium, the bond term premium, and the weak correlation between stock returns and fundamentals.