Product Variety and Asset Pricing

• 成果类型: Article; Early Access
• 署名作者: Bidian, Florin; Nunez, Carlos; Subramanian, Ajay; Yang, Baozhong
• 署名单位: Chapman University System; Chapman University; California State University System; California State University Northridge; University System of Georgia; Georgia State University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2024.05040
• 发表日期: 2026
• 关键词: product variety; imperfect substitutability; equity premium; risk-free rate puzzle

摘要

We develop a general-equilibrium multi-industry model with endogenous product variety and study its implications for asset prices. We estimate the model with both the Generalized Method of Moments (GMM) and the Simulated Method of Moments (SMM) and show that the equity premium and risk-free rate are consistent with empirically reasonable risk aversions and discount factors. The market risk premium increases significantly with the interindustry product complementarity. The model also generates the additional novel predictions that the market risk premium increases with the intraindustry product substitutability, and that industries with more substitutable products have higher excess returns. We show support for these implications in our empirical analysis.