Risk premia and variance bounds

• 成果类型: Article
• 署名作者: Balduzzi, P; Kallal, H
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.1997.tb02746.x
• 发表日期: 1997
• 页码: 1913-1949
• 关键词: ASSET-PRICING-MODELS; INTERTEMPORAL MARGINAL RATES; stock-market; returns; restrictions; substitution; volatility; moments; prices; tests

摘要

If a pricing kernel assigns a premium to a risk variable that differs from the one assigned by the minimum-variance admissible kernel, then the pricing kernel must exhibit more variability than the minimum-variance kernel. Based on this intuition, we derive a variance bound that is more stringent than that of Hansen and Jagannathan (1991). When we apply our bound to the kernel of a representative consumer with power utility, we find that the consumption risk premium increases the severity of the ''equity-premium puzzle'' of Mehra and Prescott (1985).