Information Quality and Long-Run Risk: Asset Pricing Implications

• 成果类型: Article
• 署名作者: Ai, Hengjie
• 署名单位: Duke University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2010.01572.x
• 发表日期: 2010
• 页码: 1333-1367
• 关键词: intertemporal substitution; equity premium; consumption; RESOLUTION; aversion; returns; CHOICE

摘要

I study the asset pricing implications of the quality of public information about persistent productivity shocks in a general equilibrium model with Kreps-Porteus preferences. Low information quality is associated with a high equity premium, a low volatility of consumption growth, and a low volatility of the risk-free interest rate. The relationship between information quality and the equity premium differs from that in endowment economies. My calibration improves substantially upon the Bansal-Yaron model in terms of the moments of the wealth-consumption ratio and the return on aggregate wealth.